Maxumilli0n says that the first molotov cocktail in the game is found when you scan the 2nd CCTV in the supermarket. He says it's behind the CCTV location in the basement, and is found by entering a wall opening to access a shelving unit, 2 cocktails and some soda. Look at his guide for more details If you miss this opportunity, then you'll still find plenty of molotov cocktails later on in the game. Eventually you'll begin to encounter zombies carrying them. Once you have one, find a zombie reasonably far away from you in an open area, to avoid burning yourself, and use it on the zombie. Press
to prepare the throw and use
to aim your targeting dot until it touches your target, or above it for a good long distance trajectory beyond the game's targeting system range. When it turns red, it means your throw will hit the zombie. Press
to throw the cocktail. It will explode on impact and bathe the zombie in flames. One is usually enough to kill a regular zombie.