You have to fight your fears and solve a mystery of this area. We dont know what lives here aliens, ghosts, bigfoot or just some wild coyotes, when night comes something weird used to happen. Better find something more powerfull then your old shotgun cuz it is only the first location and first... Beast...
Anyway do not worry to much - there should be some stuff laying around, it had owner before but now I don't think skeletons would mind you taking it.
And the most important, do not go out at night without a rifle or call a freind to carry one for you

Hunt different monsters on different maps (Winter, Sand or Forest).
Local flora (wolfs, lions etc) may try to ptotect it unless it eats them first, so hunt the beast at night with dynamic time of day system.
Chose gun that fits you the most - hunting rifle, shotgun, revolver or something with a good scope...