There are no ranges in the area, you will have to travel. The range at Frisco is probably the closest.
Runner Runner Guns is basically across the street from Frontsite. There is or used to be a small curio gun shop in the basement of downtown--don't know if they are still there. There is Guns for Gals, which is two doors down from Runner Runner Guns. And out by 380 and Custer there is a firearms training place which does stuff with 1911. And finally, there is a small shop down McDonald street.
There is a gun show in McKinney which happens once a year, but it is only about 30 tables and mostly not even a gun show at all. It is out in some field someplace. The closest biggest gun show would be in Allen, Texas at the stadium run by Premier Gun Shows.
---
For places to see and do:
Take a trip to Hutchin's BBQ. It is very highly ranked and has great brisket. Be warned, dinner time on a Saturday will be an hour wait.
Check out Downtown McKinney. Lots of neat local shops and restaurants. It is not large, but go when they have a festival, Octoberfest, Christmas, etc.
McKinney is still a dry town so all bars close at midnight with last call around 11:30 during the week. On the weekend they stay open to 1. But, basically no night life if you are looking for that sort of thing.
If you like swap meets, there is Third Monday Trade Days on 380. Bunch of vendors come together once a month. You can find some antiques, clothes, knick-knacks, etc. Runs Fri-Sun.
If you have a dog, there is a great dog park located near Hardin and Virginia.