In this context, the entire phrase "Delhi Police" is a proper noun. It is an abbreviation of "the Delhi Police Department" (or whatever the official name actually is). As rogermue says, the department can be singular or plural depending on linguistic preference. Generally:
- If "Department" is present, AmE favors treating the whole phrase as singular (regarding "the department" as a single organization).
- If "Department" is absent, AmE is either neutral or favors plural (regarding "the police" as a collection of individuals).
- BrE is either neutral or favors plural, regardless of whether "Department" is present (can assume either interpretation).
Using zero article in front of "Delhi Police" is a bit weirder, in my AmE opinion. But, in my somewhat limited experience with Indian English speakers, omitting the definite article is not uncommon, at least in simple sentences like this one. However, many AmE and BrE native speakers will label it as incorrect, so I would recommend including "the" here, at least if you have an American or British audience in mind:
The Delhi Police [Department/--] [ask/asks] motorists to avoid Connaught Place...