To get Lance's SS armor: reach the checkpoint in the Volcanic area, then teleport to the icy area checkpoint, grab one of the orbs, backtrack and put the orb on one of the pedestals near the researcher with robots.Repeat 4 times till all the orbs are in place.
It's a good armor, it lets you absorb Dark damage, which is great against Akron and the enemies in the Void.
Gun shop guy: "Hey, what's all this noise ?" "I'm shooting at bugs.Look, I killed 150 just with my gun." "Oh that's cool, here, see how many you can squash with this SMG"