Go to the beach. Make sure someone has the "Manipulate" materia on, and another with "Enemy Skill" (You probably figured that much)

Run into a battle. Make sure you encounter a monster called "Beach Plug" (Looks like a turtle, I recall.) Manipulate it, and use "Big Guard" on your party. Yay! You got Big Guard.

And yeah, I guess one person will be immune to lighting. Probably put it on Aerith, since she's a healer and all. But that's just what I'd do.

Edit: Manipulate comes with Kitten Sith when he joins the party, so you should have it by now.