An Infernus can be encountered relatively early on if one spawns as a competitor (or in the traffic) during Brucie's street-races. These can be stolen, although killing an opponent and stealing their car will forfeit the race, lowering Brucie's approval rating.
Stevie will send you a message that he requires an Infernus to be delivered in his garage. Like most of Stevie's cars, it will respawn if taken away, and thus can be 'duplicated' -- find the Infernus, take it to a safehouse, then return to where you found it; you should find a freshly-spawned one you can deliver to Stevie instead.
In GTA IV, you receive one as a gift from Bernie Crane after completing all of his missions.
In GTA IV Multiplayer it can be seen driving around the streets of Liberty City.
If you drive an NRG-900 around, especially in and around Star Junction, an Infernus should spawn eventually. To get an NRG-900, just go to Westdyke Autos, in Alderney.
As with most cars, Infernuses will spawn more readily once the player is already driving one -- approaching the Broker safehouse from the southern bridge may be a good way to spawn parked Infernuses near a convenient storing place