The lights are on
To get this gun you need to have but not have completed the 'Another Piece of the Puzzle' quest. Teleport to new haven and go to the very back of the city there should be a door that is placed behind a building which opens now and inside you will find a couple of Psychos and a red and silver chest the red one contains the rider. Hope this Helped!..If not just search it up on Youtube, there are several videos showing it's location.