I just got it and yeah like the other guy said you open coffins also you search undead corpses and when you save towns you get some ammo as a reward along with a new weapon and around towns under attack there are boxes marked as green circles you go to them and open it .
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At a certain point you get a gun called the blunderbuss it has no effect on humans just zombies it is used for large masses of zombies so....you can check animals and corpses for undead parts for ammo... it taked 10 undead parts to make 1 bulletEdit: also you there is other stuff you can make with different parts (ex. animal + zombie + plant = cool crap. or, animal + ammo = cool crap)
There are two, Red Dead Revolver, and Red Dead Redemption and Red Dead Redemption Undead Nightmare
For the game of the year edition you get both the original Red Dead Redemption, and undead nightmare.
You cannot get Red Dead Redemption - Undead Nightmare on the PlayStation Portable.
do your missions