I am trying to prove to the police where I was ...

你这个问题，涉及句子成分划分。

首先，应知道prove是及物动词，后面可以直接跟宾语（由名词、代词或从句充当）。例如：

There wasn't enough evidence to prove his guilt.  没有充分的证据能证明他有罪。

His point of view is right, but he cant't prove it. 他的观点是对的，可他无法证明。

Copernicus proved that the earth is round.  哥白尼证明地球是圆的。

有时，在prove后面加to sb. 表示“向某人证明”，后面再跟从句（由that引导或wh-word引导）。你句中的 to the police 是介词短语，where I was ...才是宾语从句。

I will prove to you that I was innocent.  我会向你证明我是清白的。

Must I prove to you how good we are together? 我一定得证明我们在一起有多么棒吗？

这跟explain的用法十分类似：

He explained to us how the machine was used. 他给我们讲解这机器怎么使用。

He then explained to us what it was all about.  接着他给我们解释是怎么回事。