"Lava" stage: Look low for it in the first phase of the stage.
"Airplane" stage: Look in the maze-like room in the second phase of the stage.
"Computer" stage: Use the portals to reach it in the second phase of the stage.
"Jungle" stage: After the "spike" area, there will be two stone spitting rocks, one on top the other. Use these two rocks to jump up top to the left area on a tree branch to get the blue pod containing the boots.