This achievement is unlocked by catching a weapon from mid-air. This can be done by catching a weapon another enemy has thrown or by catching a weapon you have thrown after it makes contact with an enemy or obstacle.
It is important to know that this can't be done with weapons that break on contact or do not rebound off of an enemy like the knife, meat cleaver, broken bottle etc.
Your best bet here is to go with a multi-use weapon like the pipe or a baton. These weapons can be thrown forward by holding forward and pressing the item pick up button. Throw one of these weapons at an enemy or wall and if you are in range of the item when it rebounds, you can press the item pick up button to catch the weapon in mid-air.
I have recorded a video demonstrating this method on both enemies and a wall in Stage 1 (The Streets). If this guide/video helped you out, please leave a like on the video and up vote the solution.