To build the rocket shield you must find 3 parts. Each part is in a different district – 1 in Canal District, 1 in Footlight District, 1 in Waterfront District. You only need to open the first gate to each of these districts, then use the demon form to activate the power and unlock the stairs. The exact location of the parts slightly varies on each playthrough, but they will always be in the same district in the upstairs area. They always look the same, just go where I go in the video and run around the area until you see a button prompt to pick up the object.
Once you have all 3 parts, open the second gate in Waterfront district. Here you will find a workbench where you must assemble the shield (only takes a few seconds). You can activate the burst with R2 on PS4 / RT on Xbox One and it will kill all zombies in your path.
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