Call of Duty: Black Ops III includes the acclaimed Zombie campaign, which features a lot of weapons and strategies you can use to get rid of those… things. As it happened with the last few Treyarch and Activision games, there's a series of things people get discovering just in the days following the release, and rocket shield is one of them.
Rocket shield requires you find three parts. Each part is place in a different district: Canal District, Footlight District, Waterfront District. Open the first gate to each of these district, active the demon form to activate the power and unlock the stairs. Parts' location slightly changes with each playthrough, but all the locations have in common that the parts are to be found in the upstairs area. They will always look the same, so we don't think you will have any particular issues in finding them.
Once you get all the parts, open the second gate in Waterfront District, go to the workbench you'll find there and assemble the shield in a few seconds. The Rocket shield is very useful, as it allows you to kill a lot of zombies on your path with just one burst. You simply use it with R2 on PS4 and RT on Xbox One.