Soldering guns are fine for things like wire that it won't matter so much. If you use one on a circuit board, though, there's a REAL good chance that you'll damage the board, some circuits, or some components. When you're soldering electronics, you want about a 30 watt soldering iron. Anything smaller doesn't work well on anything with any appreciable mass and is more likely to cause cold solder joints.
The trick to soldering is to first clean the tip and, if it's not pre-tinned, tin it by applying a bit of solder, letting it set a moment, then wiping it on a damp cloth or sponge. Once you've got a clean, tinned tip, touch the tip to both the wire or lead that you're trying to solder and the contact on the board. Leave it for a few seconds to heat, then touch the solder to the joint (with the iron still in place) where the iron is touching it. If it's hot enough, it will be drawn both around the contact on the board and up the wire/lead slightly. If it doesn't, it's not hot enough. Leave the iron there a couple more seconds until it makes a good joint. If you want to see what a good joint looks like, examine a circuit board. The solder should go up the lead slightly and around the contact and form a small dome with concave sides.