This mission is just next to the transit station by Avengers Mansion. Speak with the giant talking bear to continue.
Follow him through Manhattan and up to K'un Lun. You'll be ambushed by AIM lackies en route.
Smash your way through them to face Darkstar, and some considerably tougher zombie foes.
Melee fighters or area attacks work well against them. When they're down, Darkstar's shield will drop, and she'll become dizzy. Attack her until the shield is restored, and repeat. =
Defeating her restores her sanity, so follow the Major upslope, through another AIM ambush, to the Crimson Dynamo. He doesn't summon zombies, but when his health bar locks, prepare for a beam attack.
Defeat him, and follow the same process for the last fight against Red Guardian.
Winning this last fight unlocks Ursa Major for purchase.