I heard from sigint it's a really good weapon. I want it!

If I'm not mistaken then You can find the Scorpion Gun in the storage room at Grozny Grad's Main Building.
The storage room is closed, however, and can only be accessed by personnel, or the door can be opened by a certain frequency on your radio.

The best thing to do is when after you steal the clothes from Raikov, you can go as him downstairs to the Storage room, and the door will open up for you.

You can also wait a moment, because one of the personnel walks through that door on his route, and at the right moment knock him out with a Tranq, so he will be laying on the door step, keeping the door open, and a way for you to get in.

Yeaahh its found in the middle storage places, personally i dont find it very interesting, but its alot easier to get when your acting as Riak dude,, also its usefull to venture outside for equipment that wasnt worth the risk earlier on in the game ;D