To acquire the shield, you must travel to 1983 by using one of the teleporters. To enable the teleporters, you must turn on the power and then find the Teleporter Core located in the Offices Area. After the Teleporter Core has been placed on one of the Teleporter locations, you must spend 750 points to travel forward in time to 1983 from 1951.

(Note: You can read the name of your current location at the top left corner of your screen.)

PART LOCATIONS (from left to right in the buildables menu):

1. East Stairs area
2. Upper Cellblock (near some broken walls)
3. Warden's Office

The parts can only be found after teleporting.
Build the Rocket Shield in the Lower Cellblock at a workbench.

Full playthrough video guide here: https://www.youtube.com/watch?v=iSVaIoXGzFE