when you start Nazi Zombies use your knife and your pistol for the first few levels until you have about 2,000 points or so.

Then open the help door (this works better on co-op) and use the random box till you get the ray gun and the browning (MG42 works good too).

Then move the couch in the help room that leads up to the stairs and camp out in the corner where the grenades are.

This should get you to about level 20 or so. I got to level 26 with my partner, and I hope you do too.