Go to the Kowloon mission where you are interrogating Dr. Clark and get up to the point where you flip the table.

Throw as many flash and frag grenades as you can and try to blow up all the nova gas tanks.

When you do, run back around the corner into a secret room. Turn right as soon as you are in there and look down slightly.

You should see a tape player. Hold X to take the tape out (if you blew up all the containers) and if it works the screen will shake.

If it doesn't work run into the gas to kill yourself and try again.

Play the rest of the level as usual until they move the fridge for the weapons cache. Turn right when you enter to see a tape player. Hold X to put in the tape.

It will play some music and the thundergun will merge out of the wall. Hold X to take it and it will show up like it would in zombies on your screen.

P.S. It may help to: (1) Turn up your brightness; and (2) Know that the ammo is refilled back to 12 on each checkpoint and if you trade weapons, you can't get it back.

P.P.S. It won't say anything in the terms of "Hold X to take tape" or "Take Thundergun" etc.