Are you playing Virtuous Mission or Operation Snake Eater?
You say "beginning of the game," but I'm assuming you mean the Virtuous Mission. If you're playing the beginning of Operation Snake Eater, then yeah, you start off with no equipment.
But if you're playing the Virtuous Mission, there's no reason you shouldn't have a gun.
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Support Squirtle (Pokemon R/B/Y) for Character Battle IX!
http://img832.imageshack.us/img832/8463/banner2squirtle.jpg