When you're hiding behind a car in a gun fight, don't go to the part where the engine is (where you put petrol in). If the engine part is facing the opponent, and you're near that part, they will make the car explode which will likely cause you to die.
You might spend alot of money on guns although you can get some or even all of that money. All it takes is a fight.
Go to any gun shop (apart from harry) and buy the guns/ammos you want. After you done that. Go next to the shop owner and start fighting with him. Win the fight and go next to the cash register and press 'E'. Now you have to quickly run away since police will come and look at the dead body.
Before going to the shop, make sure you dont have any guns in your hand since the shop keeper will attack you.