You have to beat the game once on any difficulty first. After that, you can go into Bonus Features and spend the points you've been getting after each finished chapter to make a weapon have infinite ammo.
Edit:
And holy goose, look at these two getting 665k on Mercenaries.
It looks to me like Midnight's pistol sets up for melee attacks the most and his melee moves kill everyone in one hit except the mini-bosses running around, which the magnum destroys. I can't believe how much extra time he racked up from smacking everyone in the face. I also can't believe how quickly he functions this game's unnecessarilyty inventory system.