I always inferred that Fredo lived on the compound, part of what Michael may have meant when he said, "I've always taken care of you, Fredo," plus Deanna's line that you quoted. I got the feeling that the compound was truly vast, and Fredo and Deanna may have needed to drive from their part of the compound to where the party was being held. Of course, the (deleted) scene showed them getting out of a car because a) the car was a Mercedes 300SL Gullwing (one of the most expensive sports cars of that era and a treat for any eyes in any generation); and to set up Deanna as a bitch and Fredo as a wimp.