Currently the game doesn't tell you this but you have alternate ammo for your Shotgun and Water gun.
Select the Ammo
To do this, select your water gun or shotgun and hold down your middle mouse button to bring up a rotary menu that looks like this:
From there, press your A and D keys to switch through 3 ammo types.
If you want to use the flamethrower, be sure to ignite the match in front by pressing right click.
No Mouse Wheel?
Press TAB to bring up your inventory and select the weapons tab and there you can select which ammo to use.