The grouping tool is for creating new props.  If, for example, you wanted to create a new prop that was only a gun handle, you could use the grouping tool to select (i.e. "group") all of the polygons in the handle.  Pressing the "create a new prop" button will make a new prop that has the same polygons.  However, this doesn't sound like what you want to do.

If you're looking to simply move the entire gun, make sure that it's selected.  You can tell if it is by looking at the two names under the word "preview" at the top of the preview menu.  The one on the left should be the name of your figure (it will be a figure if you loaded it from the "figures" section of the library.)  If it's not, hit the triangle to the left of it to choose your figure from the list.  Once your figure is selected, go to the second menu and select "body."  Anything you do will now affect the entire figure.  If you select one part of the figure by going to the "body parts" menu, then anything you do will affect only that one body part.

What may have been confusing you is the "translate" tool.  If you select it by pressing the button above the preview window, do NOT click on any part of the gun to move it.  Instead, make sure your figure and "body" are selected, then click on any empty space in the preview window to move the figure around.  If you click on a part of the gun, Poser will think that you want to select only that part.  You can also make sure your figure and "body" are selected and use the xTran, yTran, and zTran dials to move the figure.

If your gun is a "prop" (i.e. you loaded it from the "prop" section of the library), then make sure its name is showing as the right name under the menu.  Then move it by clicking on the "translate" button and then on an empty part of the preview screen.  You can also use the dials to move it.