Hey AAAK,
Perhaps this tutorial will, at least, give you an idea what's needed if you use the device (the msgeq7 IC) dr pepper suggested: **broken link removed**
As you'll see, the msgeq7 "shield" made by Sparkfun is preferred.
The Arduino/msgeq7 combo will output a variable DC level for each of the 7 frequency "bands". These DC signals could also be compared to a set of comparable signal levels that mimic the sound(s) a shotgun makes which, in turn, can be used to trigger an alarm.