To start with, play through the very beginning of the Demo until you come across the Moon’s Donuts shop. It’s the bright building at the bottom of a long stairway, and it’s literally impossible to miss.
Walk inside and head to the kitchen in the back, which is also a safe room. You should see some Bolt Cutters directory in front of you, pick them up.
Now exit through the back entrance of the Moon’s Donuts shop, and you should see a building named Kite Bros. Railway a bit to your right.
Make your way inside, kill the zombies you encounter, and you should very quickly come across a room with a Shotgun locked away behind a chained wall cabinet.
Use the Bolt Cutters on the cabinet, and you’ll unlock the Shotgun.