It sounds like you got a friendly warning not to goof off too much at work. Anything you do at work reflects back upon the company, so if they would prefer you don't look at gun or shooting related sites that's what you've got to do if you want to keep getting a pay check.
You are very fortunate they let you use internet access for personal use at all. Most companies prohibit it, but choose to turn a blind eye most of the time... until they want to get rid of you. Then you'll be confronted with a stack of printouts documenting every second of your on the job internet usage along with a copy of the company's Internet Usage Policy that you've likely signed when you were hired. Then they can fire you "with cause" which can effect your access to unemployment benefits as well as future employment.