Your brother gives it to you right at the start as one of the options before you go into the Statue of Liberty, along with the GEP gun and the Dart thingy.
But I always go for the GEP gun, as one of the terrorists circling the ground perimeter has a sniper rifle I take after I kill his ass.
Never tried the new one, as I'm told it takes a kickass pc to meet the games hardware requirements.
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Undead again...
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