There are tutorials at the top of this forum that can help you navigate the GECK.
For the gun sounds, you need to have a sound you want to use.
It also could be that you just did not install the mod correctly, and the game just cant find the sounds that came with the mod.
You open the weapon in the 'Object' window, and on the 'Art and Sound' tab you can attach the 'attack sound', 'attack sound (2D)', ect...