Instructions
Advance to the level "Numbers" in the campaign game mode.
Wait until the interrogation is over. Look for the six canisters in the room.
Throw grenades into two canisters in the back -- the one on the left and the one on the right. Shoot the other canisters until the barrels release a plethora of smoke. A black tape will appear. Use the action button to grab it and head upstairs.
Kill everyone in the upstairs room, then head to the rooftop and jump to another floor.
Find a cassette player when you visit Weaver and Clark. They will move a refrigerator and reveal a cassette player. Insert the tape you found in the canisters into the cassette player using the action button.
Listen to the music as it plays. The room will shake and rumble and the Thundergun will emerge from the wall.