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You don't import weapons.
Weapons are done differently, you have to rig them with bones and animations, then convert them to the correct format, write the control scripts like gun spec etc. (you could probably just copy existing ones from the free assets and put them in with your weapon) then copy all that into a folder in your files/gamecore/guns folder, that's just so it can be displayed on your character, this is all stuff you do outside of the editor with other software.
You will also need to create a physical model to place in the world to pick up, which you do by taking a separate copy of the model and textures and use the normal importer and import the gun and add the weapon.lua script to it for the pickup weapon
It's a pain in the neck to do, and quite an advanced topic, I'm pretty with it when it comes to getting models into gameguru, but adding weapons is something i won't go near.
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