There is no special stage. Just try to explore the entire stages, in most of them there are optional areas where you can find a weapon, an upgrade or a strong enemy that drops either of them. Killing all enemies in certain places makes a small spikey enemy appear that always drops a weapon, if you kill it. As a general rule, the farther you are in Raid mode, the better the stuff you can get will be. So if you want good stuff, you need to play the most difficult stages available to you. If you want level 18 weapons, you need to play stage 17-20.

I am not sure why you would have trouble anyway. The lowest difficulty setting in Raid mode shouldn't pose a real challenge, even if you play alone. Just in case you didn't know, it's worth checking out the shop after every level you gain. There are permanent upgrades for your health and ammo at the bottom of the list.

Well is not really much of a problem. Most of the stages I clear with S rank with no problems, but It's weird seeing those gamers with my same lvl having all of them much better weapons than me. 

I always search for the spiky fish-thingy but he keeps dropping me bad weapons :P

The only problem I have is when I have to fight the boss on promenade, sometimes he kills me and it's so frigging hard to beat it. I will check more often the shop, I thought it was really useless.