Teaching robot to use weapons has been tried in the past. Depending on the type of weapon, you will have to deal with different sets of challenges. Dr. Cong Wang and his team have developed a motion capture glove that allows teaching robots by demonstration. They used an AUBO-i5 robot for their project.
The robot was taught to use nunchucks. in a matter of hours. It was chosen due to its open design, which makes integrating custom robot hands easier.