From The TimeSplitters Wiki

The HeatSeeker is a homing rockets that targets any enemy within it's range. It can kill anyone in 1 hit but can often be hard to aim for enemies when they move around. This weapon is used to bring down the chopper by Future Cortez in Story Mode: The Khallos Express and the only appearance in the story. You lose the weapon after a cutscene of where Cortez jumps to another train.