In order to reload your firearms with the ammunition you collect, you need magazines that are able to be used with them. there should already be a magazine in guns you pick up, so all you need to do is hold "T" on your keyboard, and click the icon with bullets in it. Then, go to your inventory to fill your magazine with ammo (right click and choose your refill option). Another way you can do it is open your inventory, remove you gun from your hotkey, right click your gun, select strip, and then refill your magazine. This one requires more space and usually takes longer. Hopefully this helps, or you at least already know how it works.