This achievement is unlocked after completing what is essentially the tutorial area of the game. It is a virtually back-to-back selection of missions that teach you all of the basics, and introduce you to the story.
The missions you have to complete are as follows:
*** Spoiler - click to reveal ***
Outlaws from the West
Enter, Pursued by a Memory (Unlocks "Just A Scratch" achievement)
Old Friends
The Aftermath of Genesis
Who the Hell is Leviticus Cornwall?
Eastward Bound
Once you have left the snowy area and settled in the Heartlands, the achievement will pop after it shows the screen for Chapter 2.