Sea of Solitude

At the end of chapter four, after a long boat ride, you will see a beam of light in the distance and this will pop as soon as you see the statue in the water again.

After the Boss Fight with the shadow children and the big glowing ball at the end of Chapter 4 you are swimming in the water with your brother. He gets into the houseboat which you cannot do but as soon as you get into your rowing boat the achievement will pop. Then follow the houseboat and eventually you will start chapter 5.