To texture stuff, you first have to make a separate image for each color you want on your gun (or at least I do). Open up your favorite image editing program, and make a 16x16 image. Fill the whole thing in with the color you want. Save it, and do the same again for the rest of the colors you want.
To put that on the model, go the the materials tab in MS3D, and make a new one. There will be two bars with buttons next to them. The bars are labeled (none). Click on the first one, and select a color. Select the group you want textured with that color and assign it to it. Just a tip, for every material I make, I edit the diffuse color, so I know which one I put where.
Now, if you are actually trying to put a legit texture on there, then it's a bit more difficult.