This can be done most easily in the first zone. You must collect at total of six weapon power-ups (2 of each variety). Make sure to blow up anything that may contain a power up (especially aircraft) and don't lose a life as your weapons will be reset. If your vehicle is destroyed but you manage to survive until you get another one, your upgraded weapons will be waiting for you when you hop in. This achievement can be unlocked on any difficulty, and will unlock when you finish your current zone, NOT when you meet the requirement.