I can't recall the name, but there is a good sized, old fashioned sporting goods store with squeaky wood floors and a good collection of rifles, pistols shotties and plenty of ammunition on the South end of the main street of downtown Rhinelander.
Last time I was on my way back from a couple of weeks on the Cisco Chain I found it by accident. My wife had to use a pry bar to get me away from a rack of Milsurps they had.
The nice thing about Wisconsin up there is that just about every county has some public shooting ranges off on side roads. There's a nice little one up by Land O Lakes, right on the border with the UP and there's a good trap club open to the public at the Gateway Resort in Land o Lakes.
We go for the fishing and the natural sights but always bring along a few guns for a way to spend a rainy or windy day.
Good luck and have fun. Just make sure to leave a few walleye and a musky or two for me later this summer.