This achievement is miss-able if you don't know what to do. Holding down LT and hitting A will not help you get this achievement.
You will actually visit the Brothel twice in this game. So you have 2 chances to get it. If you don't, you will have to start from the beginning and work your way back to it in order to try and get it again because the game will not let you go where you don't need to go. Thankfully, it does not take very long to get back to that point from the beginning of the game in case you do miss it. Hitting the Start button on every conversation that pops up will help speed you through a bunch of scene's. There is only 1 puzzle to solve on the way to the Brothel part that is easy to do as well. If you don't remember what it is, just look on this guide:
http://www.gameboomers.com/wtcheats/pcSs/SHvsRipper/SHv....htmNow, this is what you need to do once you are in the Brothel.
Hit X to go into first person view. There are 7 paintings on the wall. If you are in 3rd person view, you will never see the 7th painting, only 6. Just walk around the walls viewing with A until you hit all 7 and it will pop once you view all 7 paintings.