Depends on the state. Generally, if a merchant sells goods (not limited to firearms), state laws effect an implied warranty of merchantability and warranty of fitness. Generally, the seller has to clearly post "as is" to be free from responsibility. If the seller knows, or should know, that the buyer is relying on the seller's expertise, then the seller is responsible for the fitness of the product sold.
Many states have a corporation commission, or a consumer product protection division (
http://www.sos.mo.gov/business/corporations/ ) that will bully a merchant for not speedily refunding money. A letter to your state senator can get similar results.
For guns shipped in interstate commerce, federal Law is under the Uniform Commercial Code. Check in THR's legal forum for better advice.
Gun stores and dealers like to say "all sales final" for guns and ammo, but I know my state doesn't exempt either from the warranty regs. In the OP's case, if the seller were to cash the check after being asked for a refund, cashing the check would be fraud. If you're willing to wait 18 months or 2 years for the state to finish prosecuting, the small claims court case is really easy to win.
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Edit - out of curiosity for Kaferhaus's post, I looked up Alabama (
http://www.alabama.gov/sliverheader/Welcome.do?url=http://ago.alabama.gov/consumer_complaint.cfm ) - pretty clear that the seller would be in the clear in Alabama.