Well I'm not very used to frames. I would try to attach the gun as a child of the player, but I have no idea if it's possible using as2 and frames. So, another fair solution could be to move the gun to the player's position in an onEnterFrame function.
in as3 the function for attaching a movie clip is addChild(). if you call it in some object's class, the new movieclip will be a child of that object, so it's inside it and it will move together with his parent. but I dont know how to use it in as2. i would try to use the attachMovie() in the object's class, but with frames i' pretty clueless.
