Both of these are required for
- BMX Challenge is located in Glen Park Skate Park, Los Santos (map). It can only be started when you have >20% cycling skill.
- NRG Challenge is located in Easter Basin Docks, San Fierro (map). It is not locked behind any skill requirement.
I recommend doing NRG Challenge first and leave BMX Challenge for your return to Los Santos, as by that point you'll have more than enough cycling skill after doing LS Courier and Chiliad Challenges (also required for 100%) to compete this easily.