Throughout the level, the guns that the opponents use and some other guns that are on an ammo box are labeled collectables.
*Almost* all 5 can be found on the first level, just pick up a different gun from someone you killed or the pistol marker on the map until the gun drops down from the top of the screen. This means that the game has registered that you found it. Continue through the level, if you don't have the achievement by the second level, well your doing something wrong.