The window to set the textures is missing so I downloaded this gun online, and it has no textures. Usually their is a section on the right with many categories... one lets you add textures, but when I opened this blender file there was no option to add textures, here is a picture.
You don't have the properties window opened, where you will find the 'Textures' tab. If you look in the bottom right corner. There's a small cube with two arrows, next to the 'View' menu. Click that cube, and select 'Properties' to display that window.