You go to the court that issued the warrant. I would recommend having a dui lawyer when you go.
The next officer you run into may not be so accommodating. These warrants have a habit of turning up at the worst possible time, like when you are on a long road trip for the holidays to visit family.
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You need to immediately contact the court that issued the warrant. Most courts have a specific hearing or calender for the purposes of appearing and requesting the bench warrant be quashed. Sometimes you can just walk in and other times you have to sign up for these hearings. If you were represented by an attorney, contact them immediately. If not, you should retain one. You could face some additional conditions of release such as bail.
You should consider hiring an attorney familiar with the court where the warrant is issued. In some cases, an attorney may be able to get the warrant quashed for you without you having to go to court. Otherwise, an attorney can probably get a hearing set to quash the warrant. Or, you can contact the court and try to handle it yourself. However, there is a risk that if you go to court yourself, you could be arrested. Regardless, you should take care of it as soon as possible.
The obvious answer is the jurisdiction (Court) that issued the warrant. More importantly is what you do before you go in to quash the warrant. Preparation to present the Court with answers as to why you failed to appear, what risk do you pose the the community and why the Court should trust you when you say you won't fail to appear again. Depending upon whether there was a breath/blood test and what the level was may affect what conditions of release you will be facing. The Court may require you to post bail, be on electronic home monitoring, install an ignition interlock device in your vehicile or report to pretrial services (pre-conviction probation). An attorney experienced in DUI practice is your best answer to these and other questions.