You'll unlock this on the very first level - Adventures of Captain Smiley #23! After the first cutscene, just fight your way through the bank until you make it onto the rooftops and another cutscene takes place. This is where you'll first be introduced to Brad and his Bots.
After the cutscene you're shown how to use your guns and then attacked by Brad's Bots. Just carry on with the level as normal and kill them from that point on. You should get this by the time you get to the first hanging pipe but if not, dont worry there's more than enough to kill!