What should I do to get started?
Look for another program.
Audacity is a post-production sound editor. You can edit the quality, sequence and timing of sounds you make somewhere else.
Audacity does have generator tools, but they tend to be very granular. You can make one gunshot by creating the sound fraction of a second at a time and then assembling all the fractions into a single sound—and then correcting as needed. It can't take you more than an hour or so.
Then you go on to the next gunshot.
Some effects you can simulate by clever filtering of the noise generator, but that can take you forever, too.
I think you need to look for a program which does what you want.