About halfway through Mission 2(right after the helicopter fight), you'll be running down a hill. Once at the bottom, you can find a door in the rock wall behind you, with the words "ICEMAN" above it. Break open the door and go inside, and you'll find an icy cave filled with yetis. The yetis will shoot cold that homes in on you.
Get to the innermost part of this cave(a dead end), and you'll find what looks like a large rock covered in ice. Break it open and out pops a big elephant, complete with guns! You should now have unlocked the achievement.