You have to be in the engine room before fighting the B.O.W. (twelfth save point). Intentionally die when fighting B.O.W. and use a continue. Get the handgun bullets and repeat this until you have 99 ammunition. You can also get other bullets in these locations.
Power control room (grenade rounds)
Boiler room (rocket launcher ammo)
First class cabin (gas launcher rounds)
I Gun Zombies
Super Jazz Man
Also see ...