On Mission 4 (you can go directly to it using MISSION MODE), after destroying the second truck, you can see a pile of sandbags on the ground. Shoot down and throw grenades at it and you will eventually destroy it. You will discover a POW once you do that, and rescuing him gets you the achievement.
He is a special POW, instead of giving you a weapon or bonus item, he will follow you around and HADOKEN at your enemies. (Until you lose a life)