From the beginning of the second mission of the how the saints saved christmas dlc "the fight before christmas" head straight out and turn right and you'll see a snowman on a little island by a frosty lake.
From there head to the far left side of the map and turn in to find a human centipede snowmen.
Jump up and glide to a building on the right of you nearer to the right hand side of the map, there will be a snowman looking to jump off the roof.
In the centre of the map will be a cafe down an alley, with some snowmen there.
Opposite that is a snowman lifting some weights.
Then finally there will be a snowman on the top right of the map with 2 heads.
When you have seen all of them the achievement will pop :) Just make sure to go up close to the snowmen for a message from each one to play, that's when you know they've been counted.