After you meet The Shadow (won't spoil his identity here), he'll ask you to clear a buncha Metal Heads out of the forest that is the source of his power. When you get the town exit leading to the forest, you'll get the Jet Board for keeps- and you need it in the forest.

First you must talk to the mechanic, then complete the jetboard course.
When the Shadow asks you to catch 5 Metal Head scouts, go to Haven City Forest and walk to the jetboard, from then, you can use it anytime, anywhere.