Here is one way to do it using a single sprite object and a global variable: mediafire.com
If you need to have 3 separate sprites (1 for each weapon), you'd use the same process, except this time the action for each event would be the sprite name you want the event to correspond with, and then you'd set it to have an action to set the frame of that sprite, like so:
Is global variable weapon change equal 0 ====> Sprite 3: Set animation frame to 1