This is a multiplayer achievement.
You must complete all of the missions associated with Episode 1 of the multiplayer in order to unlock. This is the only Episode that is initially unlocked when you start multiplayer. As soon as you get to the safe house (after beating Santa Claws) the achievement will unlock.
Note: There are also achievements for completing an Episode without using a weapon or eating food. It is best to do these two achievements on Episode 1.