Find the guitar and teddy bear on the VOLGA level.

You can find the guitar and teddy bear after progressing far enough into the Volga level that you have recruited Krest and rescued Anna, then returned to the Aurora. As you're given the objective to commandeer a new rail car, Idiot at the front of the Aurora will tell you about a guitar being played by a bandit and a marker will be put on your map. Then, subsequently, as you're heading in it's direction, Stepan will speak to you via the radio and ask you to find Nastya's teddy bear. You can now go and find both of these at your leisure, though getting them straight away is suggested since you will have to play the chapter again if you miss them.

Note that there is a Demon guarding the teddy bear and if you sneak up to it you can use it to unlock the "Firebird" achievement.