Get to the Entrance Plaza for the first time -- when the man tells you to 
look for barricades. Notice that one of the men talking near the entrance 
has a shotgun. When the zombies attack, run up to his body. It is in midst
of a tightly packed zombie swarm. Pick up the shotgun and run upstairs. 
This weapon is very good for some of the first Bosses, like Convicts.