During the Volga level you will be told about a teddy bear from the little boy, and a guitar by one of your crew mates. To earn the achievement, you must collect both. The map is extremely large, and you will have to explore a fair amount of it in order to complete the mission, but make sure you grab them when you are in the right area.
While going for the teddy bear, craft a molotov and bring it with you to kill the demon here for an achievement.