On each of Wesley's levels, you'll find an Explosive Rat. Usually in areas that are out of your way, the rats can be spotted by the flashing red light and beeping noise of the bombs attached to them.
Shoot the rat to "collect" it.
Just after the big slow-motion set-piece, look behind some orange construction netting.
Again, after the slow-motion action sequence, opposite an exit door.
After the building has been set on fire, you'll find the rat in a cabinet to the left of the first set of stairs.
Underneath a stone pillar as soon as you come out of the first tomb area.
In a gap in the wall to your right after exiting the sewers.
Through the door on the left of the room with the first riot-shield enemy.