The Kalina Ann is Lady's trademark rocket launcher, and appears in Devil May Cry 3, the anime and Devil May Cry 4. It has the name of Lady's mother etched into the handle, and the bayonet attached to it can be used as a grappling hook or a close-quarters weapon.  Its long reload time can be circumvented by quickly switching guns between shots, allowing it to quickly take out entire crowds of enemies. Upgrading it increases its firing speed.
In Devil May Cry 3, Lady lends the Kalina Ann to Dante after their fight in The Divine Library. She asks him to use this to "free" her father. Later, when Dante returns from the Demon World, he returns it to her.
In Devil May Cry 3 and Devil May Cry: The Animated Series, the rockets launched by the Kalina Ann are gray, but in the last episode of Devil May Cry: The Animated Series, the rockets are yellow.
In Devil May Cry: The Animated Series the Kalina Ann has no bayonet for the first 3 episodes. But in the fourth episode, Lady acquired a bayonet from an arms dealer to use against Trish, who she was hired to kill.
In Devil May Cry 3, Lady gives Kalina Ann to Dante in the end of Mission 16, but she never revealed the name of her weapon. Also, Kalina Ann is shown in Dante's hands twice in cutscenes - in the end of battle with Lady and in the end of the game.