You have to play up to the mission EXCHANGE. Once you beat the mission before it (The Nightclub), the achievement will unlock right after the load screen.
Remember that co-op play is LOCAL ONLY. In some of the later levels though, the AI squadmates will revive you if you go down, so you don't have to worry about juggling two controllers if you don't have a friend to do it with.
Also, you CANNOT load up a level and unlock it. You have to play from the start to this particular part in the game.