Aaargh!!!:banghead: As a 17 1/2 year member of the USAF, here's my recommendation.
Immediately ask him to identify which statute you are breaking. When he/she can't answer, tell them you need their name, rank and unit, and the name, rank and contact info of their commanding officer, first sergeant, legal office and Public Affairs unit. Immediatly contact these folks and report the behavior of the member, explain to them what the law is, and offer tohelp brief the troops on local gun laws. The offending troop will certainly have his/her ass eaten for breakfast, lunch and supper, and you may actually get to meet some folks who are genuinely interested in learning something. Contacting the police is also a very good idea, once they get pulled in, the chain of command will follow automaticly.
If one of my troops did something like that, I'd recommenda minimum of two weeks extra duty, a lot of lectures and reading about gun law and law enforcement as pertaining to U.S. military, and require them to attend, at their own expense, a NRA or state class on gun carry, concealed or otherwise.
On behalf of the U.S. Military, I'd like to apologize for your harassment and any loss of faith in our armed forces that may have occured. Unfortunately, we too have some ass-hats amongstus.