Begin play means begin play. So, if it's a fresh character starting out, they'd have that starting gear. But if they take the class later, the GM should arrange for them to "find" any class-provided gear. This can be a wonderful RP hook, such as character who takes non-initial levels in Bladebound Magus discovering his Black Blade in an ancient treasure trove. This ought to be a collaborative effort between GM and Player to work out how such events will play out from a roleplay perspective.
"At 1st level, a gunslinger gains one of the following firearms of her choice:"
This is no different than any other "at 1st level class x can do action y".
Your DM may need to provide some reason you find said weapon, you might purchase it pre-fixed from a vendor (for the amount it would have cost you to repair it), or find it on a body or in a treasure, or be gifted it by the lone gunslinger who convinced you to follow the path of lead, but one way or another you gain a battered gun at level 1 gunslinger, and it doesn't count against WBL because it's a class feature.
Based on above, it should be like the spellbook level 1 wizards get. It's supposed to have been acquired somehow, prior to you taking that first level in that class, and it's a good idea to have an explanation for it. The same principle applies to your starting gold, too: remember, you're not going into Bloodbath and Beyond with your starting gold at the start of the adventure, it's representing how much stuff you should have had as your class (or just 150gp of stuff in PFS) by the time we start paying attention to you. The STORY behind the stuff is whatever you make it -- that greataxe you're hauling may have taken 20gp from your starting funds, but why do you have it (and not a greatsword?).
Naturally, a GM has some leeway in helping that story out. 'Wow. You find a beat-up musket. Everyone else thinks it's junk, but you see something, it touches your soul somehow..' Be flexible :)
My bladebound hexcrafter magus started with his sword. An heirloom of sorts, from his father's days as an adventurer, that was passed on wit his family's estate (I use the term estate loosely, it was a hut with a few cows and goats).
It always seemed off-balance so it was tossed aside as junk. It began talking to him one day as he was trying to determine the value of some gems. My GM, with the help of another player, thought it would be funny if the sword was a Yiddish appraiser that chose to speak at inappropriate times, like when we we stealthing up on someone, or hiding.
Fortunately, I'm the GM now... payback. ;)