This is an easily missed trophy. There is a nice selection of weapons in Devil May Cry, and collecting all of them awards you with a trophy. Anyway, here is where each is found:
Ebony + Ivory - Dante’s guns from the very beginning.
Shotgun - Find this on a table in the library across from the Sin Scissor picture, Mission 2.
Grenade Gun - After defeating Phantom in Mission 8, in the mechanism room shortly afterwards, grab the Grenade Gun from the skeleton.
The Needle Gun - Mission 12, in the area with stairs leading up to the deck of the ship, grab the Needle Gun, which is near the stairs and is shining.
Nightmare Beta - In Mission 15, you will go into one of the Emblem areas (Blue or Red) and get a storyline-related item, Pair Of Lances. If you choose to go through the other as well, the item at the end will always be Nightmare Beta.