Relatively straight forward as Dante only has 2 swords to find.
Vendetta can be found in mission 7, in the room after acquiring the flame heart you will have to cross a lava lake with a platform in the centre, enter the door on this platform and the sword is waiting for you inside.
Merciless is a little trickeier to find and is located in mission 11, when you reach the falling spike trap room, you have to smash the door to continue. Once you have done this head back to where you entered and you will find another route has opened directly below where you originally came in, follow this path to find merciless.
Note: I think merciless can also be obtained in a later mission, but it's best to grab it here as above the sword you will find a complete blue orb as well