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JesperU: I can't find it at the start of the game. Is it somewhere in a level?
The pre-order weapon is located on the right wall in the weapon selection room

The room in question:

If you don't see the weapon, please make sure to refresh your account and download the pre-order DLC installer just under the main installation files for the main game.
Post edited May 10, 2017 by JudasIscariot
JohnWoe: Um, seems there is no ammo for the gun, rendering it pretty useless... or am I missing something important?
It has one shot.

You need to enter a level, hold down the left mouse button, and just wait.