Stay away from the dam with your gun--that part is run by the Army Corps of Engineers. How much of the land next to the dam is theirs, nobody can say for sure. The subject comes up on gun forums like this one regularly. No one seems to want to be the test case.
Keep in mind that at least around our neck of the woods, there's no such thing as an A C of E police officer to enforce that nonsense. It's just supposed to keep terrorists away, I suppose. So, stay off the dam with your guns AND bombs.
Also, if you don't have a carry license you couldn't have your loaded handgun on a motorized boat if you were on the lake.