During the first puzzle in the "Employees Only" area you will come to a part where you are carrying a large hotdog. Go up the ladder and head left to a pit with one large spike sticking up in the middle. Press the square button to toss the hotdog into the pit, then with any character, jump across the pit. You will be roasted alive along with the hotdog. You will respawn back across the pit and the trophy will pop.
If you are trying for the trophy you obtain for never dying simply quit to the XMB without saving and reload your game.