This is perhaps the most obnoxious achievement.
You need to find the grenade, which looks like a pine cone, out in the second section of the game, on a hillside beyond the second puzzle, off to the left of the railroad tracks.
You then need to, while walking across the dam, walk out onto one of the side extensions facing towards the high water side of the dam - specifically, the one furthest along the dam. You will see a "throw grenade" prompt, which requires you to HOLD the mouse button to throw it. It is finicky.
After you've thrown the grenade, continue on with the game as normal until you get towards the end. Beyond the place down at the bottom where you had to shut off the water towards the end of the game, there's a small rocky section, with a dead diver and a sniper rifle lying by the water on the far side of the river. Grab the sniper rifle to get this achievement.