You'll get this achievement on your way to;
A bigger taste... in Dead Rising 2: Case ZeroThe first combo weapon you'll have the opportunity to create is the Nail Bat, after watching/skipping the intro movies you'll find yourself in a mechanics garage, in this room you'll see a baseball bat leaning against the wall and a box of nails on the floor near them, they're easy to spot because instead of the usual symbols they have a new wrench looking symbol, when you see that sign it means that item can be used to make a combo weapon.
Now while that may be the first weapon you can make, it's certainly not the first weapon you have to make, there a total of 9 different combo weapons and whichever one you choose to make first will pop this achievement.
With that in mind I've linked in a video which shows where to find the items needed for each different combo weapon.
* Credit to RoosterTeeth for the video