In single player/co-op explore the first room (it should have 3 boxes with a teddy bear/mystery box). If it is not there open the top right door (up right stairs) and lower left door (hallway). If it is not in in one of the rooms you opened the doors to, restart and repeat. If it is in one of those rooms do not press pause and restart if you die, let the match start automatically.

It should be in that room until you quit the game or turn off your Xbox 360. Or, if you get the teddy bear just restart the Zombies map (pause then restart) and repeat.