After completing some of the starter missions in the Old West, find the (formerly) Two-Gun Kid hanging out in town.
Follow him up the bluff, powering through a few Kang-Bot ambushes.
As you go, more and more bots will have health levels, but their lack of other special powers makes them as smashable as anything else.
Once you reach the heights, you'll start to meet ninjas and flamers, but just power through. You'll know when you reach the gun thief, because he has his own card.
This guy is essentially a mini-boss fight- do some damage and he'll shield up and teleport away, summoning some goons to cover him. Smash the goons, deal some more damage, and repeat. When he finally goes down for good, he'll leave the gun behind.
Grab it to complete the mission, and unlock the Kid.