I model in Cinema 4d, but it may be a similar concept in 3ds Max. You'll need to create the shape you want to subtract (in rossmum's model, you'd make a cillinder). Then you'll need to place it over your model so part of it is going through the area where you want to cut it out of your model. Then create a Boole/Boolean layer and add both your model and the cillinder objects to it. It will subtract the cillinder shape from the gun shape, leaving the cillinder shape hole there. That's how you do it in C4D. If you can't find a Boole feature in 3ds, don't look forever, since it's most likely not there.
EDIT: Ah yes, it is a Boolean in 3ds Max also. Here's a very simple tutorial on using the feature. While this tutorial covers a simple model shape, it will show you the basics of using a boolean to remove model parts. Hope this helped!
http://www.tutorialoutpost.com/count/2288