On this page of the game guide to Borderlands 2 you will find a detailed description of the side mission titled Bearer of Bad News. You can start this quest in the Sanctuary location after completing the main mission named Where Angels Fear to Tread.
After speaking with Mordecai , you will have to pass on the bad news to Roland's friends. Inform Moxxi , Marcus , Zed , Scooter , Tannis  and Brick  about the death of their friend. After visiting all of them, return to Mordecai . Head to the ground floor, where you will be able to open Roland's weapons stash. Search the chests and return to Mordecai  to end the mission.