"gun1string is not a valid member of Folder?"

Line 1 made the problems. You must change the DataStore to :GetService("DataStore"). This is because DataStore is a service. It is a top-level singleton which can be retrieved using the GetService function. Also, make a 'game' start.

Line 1 correct code :

local gun1 = game.GetService("DataStore"):GetDataStore("gun1")

Line 3,4 make problems too. You might change that Instance.new("Folder") You need to make it line by line.

Line 3 correct code :

local parent = Instance.new("Folder")
Parent.Name = "PlayerGuns"
Parent.Parent = player

Line 4 and line 6 is messy! You can make it line by line too!

Here is the full script :

local gun1 = game.GetService("DataStore"):GetDataStore("gun1")

game.Players.PlayerAdded:Connect(function(player)

local parent = Instance.new("Folder")
Parent.Name = "PlayerGuns" 
Parent.Parent = player

local gun1string = Instance.new("StringValue") 
gun1string.Name = "Gun1" 
gun1string.Value = gun1:GetAsync(player.userId)or "startergun1" gun1string.Parent = parent

end)

Delete last 3 lines because the function of PlayerRemoving that when you leave will cost errors.

Hope I helped, have a nice day. Happy coding ;D