Devil May Cry 2 HD

The health scale can be increased using blue spheres. 20 fragments are scattered throughout the levels and secret missions. There are 5 more whole spheres in the game. The last 5 spheres must be purchased in the store.

This guide may help.

In total, in Dante's scenario in Devil May Cry 2 you can find 20 blue orb fragments, 20 secret missions and 5 full blue orbs. In the scenario for Lucia you can find 20 blue orb fragments, 10 secret missions and 5 full blue orbs.

After collecting every 4 fragments, your health increases. A full blue orb immediately increases your health bar.

In Dante's case, every other secret mission contains a shard. Moreover, you cannot only go through even-numbered missions and collect the fragments - the game numbers them sequentially.
Lucia has an orb fragment in every secret mission.

After collecting all the shards, don't forget to buy the remaining health upgrades to get the trophy.

Video with collecting all the spheres for Dante
Video with collecting all the spheres for Lucia