WARNING: Game Spoiler
On disk 2, when you are in the Shinra 26, climb up to where is the Huge Materia is stored, and punch in circle, square, X, X, and you received Huge Materia. Then, go visit Bugenhagen in Cosmo Canyon and he will let you store all the Huge Materia in his research laboratory, and go near the Huge Materia you got from the rocket, select [Take a closer look] and you will recieve Bahamut's strogest form, Bahamut ZERO.