The part of the game where you get this (and it appears to be unmissable) is after you complete the very long section where Atreus goes to Jotunheim and meets Angrboða.
Spoilers ahead.
*** Spoiler - click to reveal ***After you have finished that, and fought her grandmother Grýla, Angrboða will tell Atreus to go "home". But it is Atreus' and Kratos' home where he goes and not to Sindri's House. Once there, Atreus will get attacked and when he tries to take the portal to Sindri's House afterwards, Kratos will instead come through, and the two will get into an argument. During the argument, the Valkyrie Vanadis will show up and a fight ensues. Once you get Vanadis down to the last segment of her health bar, Vanadis will be revealed to be Freya. During the cutscene, Atreus will turn into bear form, but Kratos will stop him from killing Freya. Seeing this, Freya will take pause and "will not kill you today". After which, the trio will then automatically go to Vanaheim, as Freya wants the magic removed that prevents her from leaving Midgard.