Police say 40-year old Karen Hollander had gone into labor in a bank parking lot in Great Neck at about 5:15 p.m.
She called 911, and the arriving officers and ambulance technicians began transporting her to North Shore Manhasset Hospital while being escorted by a patrol car.
But the baby wouldn't wait: while en route to the hospital, the AMT's delivered the healthy baby girl, named Alexandra.
She is the first daughter for Karen Alexander and her husband Roger, who have four sons.
Karen was out shopping for a car seat for her new daughter when she started labor.