For this achievement you must find and collect all of the melee weapons within the game. You must pick each one up and keep it in your inventory until you finish the level. You cannot just pick it up then drop it, as this will not count as being 'collected'. There are 6 melee weapons that you need to collect. Their names and possible locations are as follows:
The Katana can be found during 2 missions; 'At The Gates' and 'Shogun Showdown'. They are carried by Black ninja's during 'At The Gates' inside the castle walls and are also carried by some of the ninja's inside the museum and a target, Masahiro Hayamoto during 'Shogun Showdown'.
The Kitchen Knife can be found during 4 different missions; 'The Gontranno Sanctary', 'Anathema', 'Invitation To A Party' and 'Tracking Hayamoto'. You will find the Kitchen Knife in the parcel that you find during 'The Gontranno Sanctuary', in the kitchen during 'Anathema', in the lower levels of the building were the chef is during 'Invitation To A Party' and in the room with the fugu fish during 'Tracking Hayamoto'.
The Fire Axe can be found during 2 different missions; 'Basement Killing' and 'The Graveyard Shift'. During 'Basement Killing', you will find the Fire Axe inside the firemens' dressing room and you will find one inside the eastern guard room during 'The Graveyard Shift'.
The Golf Club can only be found during one mission; 'Anathema.' It is carried by Giuseppe Guillani, one of your targets.
The Combat Knife can only be found during one mission; 'Tubeway Torpedo.' It is carried by Mikhail Bardachenko, one of your targets.
The Scalpel can only be found during one mission; 'Terminal Hospitality' and can be found within one of several rooms in the basement.
The Fiber Wire and the Anesthetic are also classed as melee weapons, but you will begin missions with them already in your inventory, so there is no need to 'find' them, just hold onto them until the end of the mission. Collect all of these and the achievement is yours.