For changing the weapons stats, go into weapons.ini in your Soldat folder. The instructions are in the file, you'll pick it up fast by just playing around with the stats.
Changing what the guns look like on the menu you can do in Soldat/interface-gfx/guns.
To change the in-game weapons, go to weapons-gfx.
To change weapon names, go to soldat/text/weaponnames.txt.
Explosions and flames are in sparks-gfx
Just right click them and open with paint.