It's a very cowboy-style gun, too. Looks like a lever-action rifle.
He still has his blasting rod, as I recall. As well as his amulet (which is probably the most important item, all things considered).
EDIT: Jim himself tells us it's a Winchester chambered for .45 Long Colt. Probably no magic in/on it.
But the fact that Jim not only tells us specifically what it is, but also opines on its abilities for self-defense, makes me think Harry's going to be using it.