In the World of Ruin? easy shit.
Goto the Colleseum, and put your betting item in as the "Striker" Knife, which Shadow is looking for, with any luck you will be up against him, and you will more then likely kick his ass.. lol, after that he joins you and you keep the Striker ^^.
You should've posted this in the Helpline, i'll merge it with it now.
EDIT: If you dont face him in the Colleseum (make sure you save before you go in) goto the Cave in the Veldt and you will find him there;
(shamelessly ripped from a walkthrough )
In here when you enter Interceptor will see you and it appears that he wants you to follow him. So follow him and in this next room there are thieves near a fire, talk to them and they will tell you SPECIFICALLY how to acquire Gau if you had not done so yet, so if you can't interpret their words and still don't understand you are pretty slow! Continue through and pick up the treasure chest to the left and inside it contains a RAGE RING relic. There is also another treasure chest which contains TIGER FANGS for Sabin, but its guarded by an Allo Ver.
After that make your way through to the bottom staircase. And continue to go through the stairs until you reach a door with a switch to the right of it. Hit the switch and pick up the STRIKER and then continue through to the right and you should eventually reach a save point, so save your game and heal your wounds. Then make your way to the next room you will see Shadow(or Relm if Shadow did not jump off with you on the Floating Continent). Then suddenly the party is attacked!
BOSS BATTLE:
SirBehemoth(2)
HP: 19,000
This battle will be difficult, cause you will have to face off against the two of them. Have Terra and Celes use Fire magic on the first SirBehemoth and have Cyan use his SwdTech, Sabin his Blitz(pummel or Suplex), Gau anyone of his rage attacks, Setzer his regular attacks or Slots, and have Edgar use his Drill in this battle. Keep doing this until the first one dies and then another one will attack from behind. This time continue the same pattern but have Celes and Terra use Ice magic against the 2nd SirBehemoth. After defeating the two you will recieve a BEHEMOTHSUIT and CRYSTAL SHLD.
After the battle the party takes Shadow(or Relm) to Thamasa where he can heal his wounds. Then a flashback occurs to Shadow's past where he left out of town and Interceptor follows.
Then its AFTER that when you goto the Colleseum and do the whole Striker thing.
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