To unlock this achievement you need to find all of the guns in the game. There are 4 of each of the 'Machine Pistol', 'Shotgun', 'Tommy Gun', 'Chainsaw', 'Grenade Launcher', 'Laser Rifle' and 'Flamethrower'. There are 5 of the 'Rocket Launcher'. There are 8 gun types which means there are a total of 33 guns that you need to find to unlock this achievement. You will mostly find them while playing through the campaign, but some of them are only found in the 'Secret Areas'.
See "Laura Who?" for walkthrough videos which also contain all of the weapons.