The only mention of guns in canon that I can recall is at the start of Prisoner of Azkaban, where the muggle side of the Sirius Black scare mentions him as armed and dangerous, and the Daily Prophet agrees that muggles are saying he has a gun, which they describe as being something like a muggle wand that they can use to attack one another.

I assume that a great many wizarding children went on to imagine the muggle world as some very interesting variant on the stereotypical Wild West, where "boomstick" was probably a better description of a shotgun than usual.