There are 3 pieces of armour. I found the achievement buggy, so if you don't get it after picking up the third piece, go to the main menu and reload.
The first piece is a sword leaning against a chest in Teddy's bedroom the first time you go in.
The second piece is a shield you'll find to your right on entering the basement of the house.
The third piece is a helmet. You'll find this the first time you go through the strange white area behind Teddy's desk (the second desk).