Ra Part - Go to Ra Alter Room. The first spawn is around the corner of the stairs near pots. The second is across from the M1897 Trebuchet wall-buy. The final is next to a zombie window near the M1897 Trebuchet.
Zeus Part - Go to Zeus Tower. Go to the upstairs and left of the perk next to a zombie window on a statue. The second is in the Hand of the statue right down from the top stairs. The final is at the bottom level right of the stairs that you walk in on a little counter with candles.
Odin Part - Go to Odin Tower. In the upstairs right of the stairs when you walk in on the wall after the barrel in the corner. The second is in the middle on the shelf of other shields. The third is at the bottom level on the left wall on a wooden beam.
Craft - Go to The Pit. On the back wall there will be a table to craft the shield at.
Upgrade - Go to Zeus Altar Room. Pull out the shield and with the shield shoot three bull heads. The first On top of the wall next to a big bowl that is on fire. Shoot it until its eyes are on fire. The second is on the ceiling on one of the tiles. The final is on the third column to the left on the top of it.
1st Part - (When playing co-op each individual player will have to grab these following parts) Go to the Temple and on the blue ceiling there will be a little sparkling piece. Shoot it then grab it off the floor.
2nd Part - Get 8 melee kills with the shield then get a 9th melee kill on an Elemental, Brawler or Gladiators. You cannot do it on tigers. Once you’ve done it correctly you can find the second sparkling part on a statue in the Odin-Zeus Temple Entrance.
3rd Part - Kill a Brawler, Tiger and a Gladiator with an ignited blade. The ignited blade takes three melee kills to set on fire. The Part will spawn on top of the doorway in the Fallen Hero. The part will sometimes not spawn so just keep killing one of those three. Shoot it then pick it up off the ground.
Done - Go back to the shield crafting table and grab the upgraded shield.