I would say the song is about two people who love each other. But, if they act on their feelings, they will destroy each other (as in shooting each other with a gun). They are saying that it is better to give their gun/love away (it is better to not act on their feelings) than it is to destroy each other.
"It's the wrong time
For somebody new."
She cannot start a relationship.
"It's the wrong kind of place
To be cheating on you
It's the wrong time
She's pulling me through."
He is trying to move on. His potential partner/friend (?) is pulling him through the difficult situation.
"If you don't shoot it, how am I supposed to hold it?"
If I cannot love you, how am I supposed to deal with this love/deal with this situation? At the end of the song, they ask..
"Is that alright with you?"
They both say "no", as they are torn...
What do you think?