To build the Zombie Shield you need to look for 3 parts, and each one of them is in a different district: Canal, Waterfront and Footlight. It is important to mention that the order in which you get these parts doesn't matter, nor the workbench where you decide to build the shield.
I would recommend waiting and earning as much money as you can until the end of round 6 or 7. Hence, to survive those rounds without much trouble, I would recommend getting the L-Car 9 for a price of 750 from one of the market tents in the Junction. By then you should have enough to afford all the doors needed. In the end you will need a total of 10,750 to unlock all the debris needed and survive.
For a precise sight of the parts I suggest watching the video below because it is difficult complicated to explain their trails.
Canal District
As soon as you get out of Easy Street, turn left and enter Canal District. Then, always go straight and make a left whenever is possible. This part is located in the middle of the second 'skyway' you will need to cross. If we count the door we needed to open in order to get to the Junction, the trip to retrieve the part will cost you 4,000.
Waterfront District
For the second part get yourself back to the Junction and enter the Waterfront District. You should see it in front of you on your way back from the Canal District to the Junction. Next, always go straight and make a right whenever is possible, the part will be in the house on fire, right before the powered stairs. The way up to the second part will cost you 3,500.
Footlight District
If you are coming back from Waterfront District to the Junction, you should find Footlight's entrance by going straight and looking to your right. The only 'easy' way to explain how to get to the third part would be "just go straight," except for when you make a left instead of getting on the train. As in other districts, you will need to go through 3 doors, thus spending 3,500 points more to collect the last part.
Finally, if you did it in the same order I did, turn around, follow the path and you will eventually find a workbench on your left. When you get there just hold
to make the Zombie Shield, then go back to the Junction. There, kill the last zombie and play the next round. The controls for the Zombie Shield are
to melee and
for rocket boost, the latter being what you need to do to get the achievement. So, make a train, line the zombies up, and hit the right trigger.