Right at the beginning of your adventure in the Volga, you will come across a mother traveling with her daughter. The girl will ask you to find her a teddy bear. Check this page to learn where you can find the toy.
The teddy bear is in the southeast part of the map. However, these terrains are highly radioactive. Don't go there if your gas mask is damaged.
To get the teddy bear, you will need to get on top of destroyed buildings. Demons' lair is on one of them. The toy is right in front of it.
Approach the lair. If the enemies are still here, be careful. If they catch you, they will throw Artyom off of the building, killing you instantly.