This achievement is unlocked by buying all upgrades from the pirate shop and ensuring they're active. These are the items bought with gold, it does not include the unlockables bought with XP points, although note that you will need to deactivate the Mega Walker (if you have unlocked it) to be able to buy the upgrades.
Obviously, the hardest part of this achievement is collecting all of the gold bars around the levels. It is not necessary to collect every single one - if you don't miss a gold bar, you'll be able to afford all upgrades by the end of chapter 5-1.
The gold bars are usually pretty easy to spot, make sure you destroy everything you can see as some are hidden underneath structures. For a full guide on the locations, please see this post:
PS3 Trophies.org (same info as for the XBox version), credit to MFVillinhttp://www.ps3trophies.org/forum/gatling-gears/115087-gatlin...