All of the roads you'll want should be on the standard rental car map, and you'll be on a couple of them when heading from the airport up to Peterson.
Specialty Sports and Supply - largest in town.
From Pete go west on Platte about 30 seconds and then south on Powers for about 5 minutes until Fountain, head west on Fountain until the traffic light at Murray. Left on Murray, and then a quick left again into the parking lot. The building looks like it should have been a Walgreens.
Sportsman's Warehouse - if you don't have one in your neck of the woods.
From Pete go west on Platte for about 10 minutes, after passing underneath Academy Blvd you'll see a mall, turn right at Chelton (traffic light) and can't miss it. Alternatly, you can depart Specialty and head west on Fountain for a minute and then turn onto Chelton as it winds through a golf course and residential area.
And it is nearly mandatory to see the rock formations at Garden of the Gods. Follow signs for Hwy 24 west (acessible from Platte and Fountain) and head through downtown and about 10 minutes to the west, look for signs. The visitor's center is north of Hwy 24 on 30th street (hwy exit to 31st and follow signs) but there is more than one entrance.
In the park you will likely hear a shooting range, it is about 30 minutes up and out the back of the park on a rough road and is typically full of trash (both two legged and litter)