|Complete The Once and Future Slab||24||Sanctuary (Outside Moxxi's)||5319 XP, The Bane|
You only hear three words from the ECHO Recorder, redirecting you to Marcus, so go talk to him to learn about the cursed weapon. He says he had it, but sold it to a bandit named Horace. Head to The Dust and go north of Ellie's garage to find Horace's ECHO sitting at the end of the little valley here. It says that McNally took the gun and asks you to go find him before it's too late.
When you get to his location (still in The Dust), you'll find McNally walking around and will also see that he is a Psycho. Kill him and listen to his ECHO to find out that he sold it to a man named Gar, who resides in Lynchwood. You can get there from a travel point in The Dust and if you've never been there before, it is mostly populated with regular bandits and then Rats on the upper levels of the map.
You will find Gar in the off-section part of the town, where the Sheriff of Lynchwood is location if you've already finished the Showdown mission. If you have, then you'll need to fight through her and her henchmen, as well as a bunch of other bandits, to get to the little cave area where you'll need to take an elevator to an upper area where Gar is located. When you find him, he is dead and there is a map as to the location of the weapon in question. It's on the southern side of the map, in a grave, close to the out of bounds line. It will be easier to use the elevator in the small Skags area to get to the spot. Interact with the grave and you'll finish the mission right then and there.