I would never direct anyone away from KLOV because this site is great but the best NES site I've found is at www.nintendoage.com. Otherwise I would just throw down the $5+shipping to pick up a new gun. In fact, I think I have an extra if you want it. PM me if you're interested.
Are you playing it on a High Definition TV of any kind (plasma, CRT, LCD, Projection)? If so, the gun will not work. You'll hear it shoot and the screen will flash, but it won't hit it's target.