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Every difficulty level will have you get specific weapons at specific points, so just keep playing and dive into a soldier whenever you see a gun symbol next to their name. Goes without saying but better guns will be available on higher difficulties.
If you want to unlock better weapon upgrades to some of these guns you need to complete the feats, certain ones award weapon parts.
Playing: Eternal Darkness Sanity's Requiem, Muramasa the Demon Blade, Sly Cooper and the Thievius Raccoonus (PS3) PSN: jext77