After you beat up the men and are told to locate your safehouse, follow the Don's enforcer out of the alley and turn left. Walk down a short distance to the next alley on your left. There will be a thug standing there, staring at you. He will not attack, but if you beat him up he will drop a pistol, which is good for a first gun. You can use the pistol to get through the next few missions easier (before you are given a more powerfu gun by the mob).