There are a ton of things not clearly explained in the opening Torn tutorials. One of the things is "city finds."
If you click on the "city" tab, you'll be brought to a menu with links to all the places in the city. At the top, there is a tab that says: "Map" (circled below.) Clicking on that will bring you to a map of the city.
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In the city map screen, if you zoom in, you might find items. It'll be a small item in a black circle.
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If you click on the item, you will get it.
City finds spawn randomly at midnight, but they only spawn if you had logged into Torn the previous day. City finds will also not go away once they are on your map. So if you've been logging in every day, but not checking the map, it's quite likely that you have a large amount of free items waiting for you!
The items are random, but you can get very high value items! Over the course of 164 days, I have found a total of 76 items - valued at $113,880,188. (I have about 4 merits put into increasing city finds). So on average, I find an item once every 3 days or so, and while there have been a lot of useless items, there has also been a goodie bag, eDVD, feathery hotel coupon, business class ticket, etc.
While there are several icons on the map, (territories are also included and I think if you click on one it asks if you want to fight or something like that) city finds are in a black circle with a white border.
Once you get good at spotting them, and if you have good eyes, you can spot the icon from a pretty zoomed out position. But it's easiest to either zoom in or use Torntools, which is a torn extension for your browser.
Good luck with your finds!