Having a blast playing DMC4 at the moment; found this excellent video guide to picking up all the Blue Orb fragments in-game.

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00:00 – Mission 2, 00:30 – Mission 3 (x3), 01:56 – Mission 6 (x2), 02:39 – Mission 7, 03:40 – Mission 8 (x2), 04:55 – Mission 9, 06:00 – Mission 10, 06:42 – Mission 17