Throughout all the levels you will run into many different types of guns. Whenever you see a gun that you do not already have, pick it up. After you complete the level on which you found the gun, the gun will now be available at your house. You will have ammunition in the room for you to use if desired. However, there are many guns that are too big to carry inside your clothes and therefore must be held in the open. You will not be able to pick up a gun of the same size or greater without dropping the one you are holding. You will find other guns on the same level that you cannot pick up because you are already holding one, and the gun you want is simply too big to conceal. In this case, you will have to decide which gun you want more then finish the level with it. You can always replay that level to get the other gun that was left behind.