This is a fairly simple Achievement to get. You will find Blueprints for Combo weapons around the map as you play. I recommend you do a playthrough just doing all side missions and collecting them before tackling this because it is just best to have as many blueprints as possible as not all of them you are able to make (Some combo weapons require other combo weapons)
Once you have a hefty amount of blueprints just go to a safe house and grab what you need from the locker and build it. After a while though your locker will need to resupply so you will either have to go looking for weapons for a bit or just kill some time. There is a bar at the bottom in the locker menu that shows the Locker supply.
There is also an achievement for creating all combo weapons so make a list of all that you created. There is also a section in the locker for combo weapons and super combo weapons. Be wary that they are added if you use them not if you build them. So if your friend ever dropped one for you to use it will be added to your locker. Had this happen with the Tactical Gun which can be found in Chapter 0