Is this the film?


The guys who our "heroes" are fighting throw a grenade. One catches it, looks at it funny & throws it back. It lands in a whole box causing the "enemy" to run before it all explodes.

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Oh yes.
"You don't want it"

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Yup. A Russian "highway patrol" officer throws the grenade. Chevy Chase picks it up and says to Dan Akroyd "What is this?" "Akroyd says "You don't want it!" Chase throws it back and it lands in a box of ammunition. Hilarity ensues.

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