Haunted Police Cars is a typical glitch discovered by Crash Co, believed to be slightly paranormal, as the police car runs involuntary, even after the cop is shot/killed. These occurrences are frequent in the portable versions of GTA San Andreas.
A likely explanation is probably just the game being delayed in having the police officer being set as killed within the game world. The game thinks the officer is still alive and is driving the car, causing the car to drive on it's own. Another, similar but different glitch can occurs in Las Venturas, when the Police Cruisers tend to drive by themselves.
The easiest way to cause this is to get on the back of a car while the AI is driving it and to shoot police in the head.
It could possibly be related to the Desert Ranger myth.