This takes place on Episode 5: Gauntlet. After gaining control of your character, continue forward and avoid getting caught by any police officers. You will eventually hop over the concrete fence and there will be a blue shipping container as well as stacks of wood in front of you. There will be a helicopter overhead, and you should see the water tower off in the distance.
Now instead of crossing the street towards your objective, stay on the side of the road and follow the concrete wall down to the end of the road. You'll pass by a desert tree and police car. At the end of the road, there will be a police car on the left, and you'll need to go up to the trunk and take the T62 CEW out of the back. If there is an enemy, approach slowly, take him down and then steal the weapon. If there is no enemy, approach slowly without getting spotted, open the trunk by interacting with it, and then steal the weapon.