You start with this weapon, and never run out of ammunition. The other eight weapons are gained as you defeat levels. Some weapons are aimable. If you're not holding any direction, you'll shoot the way you're facing. Otherwise, aimable weapons will shoot in the direction you're pressing on the arrow keys or the joystick.
Different weapons have different effects.
After you've gained a new weapon, if you have a chance, practice with that new weapon to understand how it works. Note that some enemies require different number of shots, depending on what weapon you're using. When you start a new game, you'll see the level-selection screen. You can select any of the 8 outer levels. The center box represents the evil force's level.