‘The Midnight Club’ is an achievement or trophy tied to GTA Online which requires you to use custom vehicles to win 5 races.
After spending in a little time completing GTA Online missions; Simeon will call you and ask you to get a vehicle to get it insured and customize it. You can opt for any random vehicle but we would advise you get a good one since you are going to use it for completing races.
After insuring and customizing your car; you will be notified of several races on-going in San Andreas. You can participate in these races by opening up your map and selecting Land Races from the Legend and get to the starting position.
You will see a blue marked area near the starting position of race which you need to access on foot. Once you get into the blue circle; change the Lap Limit to 1; Car Model to any; and turn Custom Modes on. Now all you need to do is to invite a friend of yours to the race and select the car; you customized earlier.
You either need to have a very good friend or skilled yourself in order to complete the challenge. Once your friend joins in the race; ask him to let you win and re-play the race four times for achievement or trophy to pop-up!