Once you get to Act 2, make sure Cyclops is in your party before you enter Murderworld because you won't have a chance to change party members once you're there. Also, if you haven't saved in awhile now is a good time to do it.
Sometime during the level, there will be a wall with spikes on it closing in on you and gates blocking your path. It helps to have someone whose powers can break the gates. I used Doctor Strange. You just need to keep Cyclops alive (he died on my first try so I couldn't get the achievement).
Grab the coin and then play Pitfall, a vintage side-scroller arcade game. Once you beat that, talk to Jean Grey for the achievement.