I live in NJ, unfortunately. What are the laws about purchasing a weapon from a family member who lives out of state?

My sister just told me that her husband wants to sell his handgun (not sure of the type or the price). They live in Colorado. If I decide to purchase it when I visit them what are the laws? Do I go by Co laws? NJ laws? Obviously when I get back to NJ I need a NJ carry permit but...Does this transaction need to go through a FFL? Background check? etc? Thanks!