Well if you have not found it, it is on the zombie stage, you go down a hill and right when you reach the bottome there is a Ice cave to your left. you shoot open the cave and go in, at the end of the tunnel is the elephant and also a small stash of coins directly to the left. you ride the elphant back to the enterence where it gets frozen again and you exit. Kinda sucks actually since you can not leave the tunnel with the elephant, but oh well.