Genji Armor - Complete the DMW 100%.
Genji Shield - you have to impress the Magic Pot in mission 7-6-6: The Determined Recruiter. This'll be a random enemy spawn, and will want you to use Gil Toss, Costly Punch, deal an attack that does 99,999 (the broken damage cap), and Octaslash (Sephiroth's DMW ability.) You can use the Octaslash Materia to help boost your odds, but as far as I can tell the pot gives you plenty of time to let the DMW roll.
Genji Helm - the least useful of all the armors, but this item is bought in a shop unlocked after completing mission 9-5-4: Abnormal Power. This costs a whopping 1,000,000 Gil.
Genji Glove - found in a chest in mission 9-6-3: Biomechanical Threats. Found in a chest in the large area west of the starting point.