I'd like to add two things to the other solution posted here:
1) There is a game-breaking glitch for some people when you approach the zeppelin at the end. When the glitch occurs, the game will lock up, often when firing a rocket at a zeppelin turret. If this is happening to you, go into the options and turn off controller vibration. This will prevent the game from freezing.
2) If, like me, you picked up the sniper rifle and don't have the rocket launcher, the last part of the level where you try to stow away on the zeppelin will be a bit harder. Here's how I did it on normal:
- After exiting the elevator, kill the enemies to the left and right. Head out towards the right to the bridge.
- Immediately shoot the rocket launcher guy in the head with the sniper rifle. You can shoot the explosive tank but that doesn't always kill him.
- Shoot the explosive tank just to the left of the rocket launcher guy (now deceased) with the sniper rifle. You need to kill a guy down there anyway and you don't want that tank around when you run down there yourself.
- Use up the rest of your sniper rifle bullets on the SMG guys to the left.
- When you are out of sniper rifle bullets, switch to your other gun, which is probably an MP-50 or similar. Sprint down to the rocket launcher but don't pick it up. Sprint back, killing the two dudes who warped in behind you on the way. Pause to regain health.
- Some of the SMG guys may have followed you. Make sure most of them are dead before proceeding but don't kill all of them. You want some of them alive so the turrets don't start shooting.
- Switch to your empty sniper rifle and run back down the bridge to the rocket launcher, pick it up and sprint back. Make sure you get the one behind the sandbags since it has more ammo than the one dropped by the soldier you killed earlier.
- Peek out and shoot down the barrage balloons to the right of the bridge with the rocket launcher.
- Kill the remaining SMG guys with your normal gun (the MP-44 dropped by the SMG guys works well for this) and then shoot the turrets with the rocket launcher. I shot the turrets early, before they activated though I'm not sure if that's normally allowed. If you run out of ammo, I think the rocket launcher near the ramp in an infinite refill.
- Run to the zeppelin and finish the level.