I´m wondering this since I played this game as a kid. I know there´s a secret way, but is it possible to drive from Wind Cliff to Grey Stone on the normal road without getting shot by the helicopter?

Yes. If you have a freight to Greystone they'll let you through. Police attacks only if you're trying to cross the border with an empty car/truck.

Maybe save-load sometimes reset helicopter and there is no else police. Cant guarantee it work in last version.

You have a secret road in a mine near Foothill that leads you to the desert leading to Greystone. By this way the police will let you in peace even without a freight. And you're obviously always 1st by this way.