This achievement requires 2 players or can be done solo as per below.
First you will need to connect either 2 controllers or keyboard/mouse and a controller, then start arcade mode and connect the second player (P2). Start the first level and move both characters ahead and when you approach the first enemy, have P2 stand far back so he can't get hit and then have the enemy shoot you (P1) until all your lives are gone. Once your lives are gone it will say game over at the very top under your player name, now you can hit the respawn button and this achievement will pop. The respawn button on PC is ESC.
You will need to make sure P2 has at least x1 life left otherwise you won't have anything to steal and you won't get this achievement.
If you need more help with this you can see my video guide below: