The liquid nitrogen freeze gun was a weapon used by a criminal known as the Nitro Stalker. Some time after Tex got involved in the case, the guy was found shattered apparently by his own gun. Mojo and possible Danwicz is convinced that Tex was responsible for taking the law in his own hands.
The nights templar got hold of the gun and hid it in the watertower above their building. Tex had to retrieve the gun as a return favor after Mojo helped him decrypt Maldonados memory stick.