Here's a list of things you need to do to get this ending:
1. Chapter 1 Exhibition Station. A man will ask for a couple of bullets to buy some medicine for his son, give him the money.
2. Chapter 2 Riga Station. There are beggars on the platform and near the prostitute. Give a bullet to at least one of them.
3. Chapter 2 Market Station. Between the ammo exchange and the bar where Burbon is there will be a poor guy telling a story to a child, give him a bullet.
4. Chapter 2 Dead City 1. Turn right at the end of the level. You'll find a hideout with a cassette recorder. Listen to the message.
5. Chapter 4 Front Lines. Listen to the three soldiers at the red army command post. You must also save three red soldiers from fascist captivity or finish the level without killing anyone (it's impossible to do both).
6. Chapter 4 Depot. After Pavel dies, explore the train and its inhabitans.
7. Chapter 4 Defense. Take the tape from the dying captain.
8. Chapter 4 Child. After saving Sasha, refuse to take the ammo as a reward.
9. Chapter 4 Outpost. Send the S.O.S. signal using the transmitter on the roof of the Nazi outpost.
10. Chapter 4 Black Station. Listen to the first two nazi guards. Finish the level without killing anyone.