In your MW2 directory, there should be a folder named mods. Inside that folder should be your .iwd (in this case GunGame.iwd). Make sure that the .iwd uses .ZIP compression and NOT .RAR compression. Also, open the .iwd with WinRAR and make sure this is what the folder tree looks like:
maps/mp/gametypes/_rank.gsc
After you've made sure that all of that is correct, go into the game console and type
fs_game mods/Gungame; vid_restart
then, go into a private match, choose your game settings and start the match!