Besides weapons you need to craft tools that will help you build and reinforce your structures. You can also just find guns in special gun safes that are usually located inside houses behind the iron bars.
However, you will be able to find gun parts and special knowledge books. Crafting a Sledgehammer is a bit trickier, since it requires a forged iron. It can be found in crates inside the Working Stiffs Hardware Stores that are usually located in towns and cities.
Later you will be able to find or craft a Sledgehammer - a much better melee weapon although a bit heavier. On your first day of survival you will be able to find your first melee weapon - a Spiked Club. You will learn how to defend yourself, how to build and reinforce various structures, and how to level up your character. This beginner's guide will give you all the necessary information on how to survive at the initial stages of 7 Days to Die. It uncovers the murky world full of zombies, and you may find it hard to make your way through it in the very beginning.