First you must file a report at "Carabinieri" or "Polizia" station. Both have offices at Termini station.
Otherwise, you can go to one of the following central police stations:
Carabinieri - Via Mentana, 6 (north of Termini) or Piazza Venezia (no number but you can't miss them!)
Polizia - Via Farini, 40 (south of Termini), or Via S. Vitale, 15 (off Via Nazionale) or Piazza del Collegio Romano, 3 (near Piazza Venezia).
Then go to your embassy.
The Tourist Information Offices of the Town Council and of the APT of Rome will be at your disposal to give directions to your embassy.
