You'll get this through playing through the game.
When you get to the desert kingdom, the last brother will be across the gap with the princess once you build the glass bridge.
Most things will be directly pointed out to you; But just a brief summary of each one of them;
The first one you meet at the start of the game. -Ice Kingdom
Then you later get doug out of the ice (an achievement on its own; Just pick him up and place him by the fire)-Ice kingdom
A third will be "found" and given to you.* - Forest Kingdom
A fourth will be trapped in something and you must knock on it 3 times to bust him out.* - Forest kingdom
The last guy will be in the desert as stated above. -Desert Kingdom (obviously)
Not easy to miss this one
*The third and fourth may not be in the exact order but just flip flop as needed.
EDIT: Judging by the comments, it appears this achievement can be glitched. I'm unaware of the specifics to cause this to happen, but one suggests not playing on multiplayer (which seems reasonable). Another says it glitched on single player. So, just a heads up.
EDIT2: This comment was just posted by senor lethal (not actual name), and you should take a look if your achievement is glitched:
"Woot! I managed to get the achievement to unlock by deleting my save, redownloading the game and clearing my cache. I started a new game and as soon as I could move, the achievement unlocked! :D"