Get over the train bridge in Mission 04, you will go through a building and after that enter a street. A huge battle will occur on this street, and you get a tutorial on how to use Devil Trigger enthusiasts for Shadow and Griffon. At this moment, charge up 3 bars on the purple Devil Trigger gauge (by eliminating enemies). Press LB to summon a Nightmare (huge colossus that battles for you). The Nightmare will come leaping through a wall of a building and you will get the "Backroad" achievement.