Although the two other guides explain what you need to do, I thought it might be important to note that the 1st chance you can get this is during episode one. There are a lot of these zombines w/ grenades during the 3rd and 4th chapter of episode one. I am currently playing through it the 1st time so im not sure if chapter 5 has them but for sure it it in the 3rd and a lot in the 4th.