Ah, I remember it precisely actually, because it was rather distinctive
It was in the <mid act 1 area with a bunch of monsters> in Legendary, and a huge pack of Skeletons was running at me - glee occured when I noticed one of them was wielding a ridiculously cool looking sword. A few seconds later and it was resting comfortably in my backpack. Wound up picking up the other pieces a bit later.
I actually went through several of the Epic and Legendary 'class' set pieces, but with no one to trade them to in multi, I had to vendor them to make room

Much sadness. This set was too cool though, I had to hang on to it. Need to bequeath it upon some worthy Warfare/Storm character at some point
