Yes, you can make real-looking gunshot effects, but it depends on what you mean by "gun shot effects". If you mean muzzle flashes, yes.
Yes, you can remove a wall, but it depends on what you mean by "remove a wall". If you mean set extensions, yes.
You won't be able to do any of that during your first few days of using it though. It is a complicated piece of software and, as such, requires a significant learning curve.
....and you might want to use the tryout version for 30 days before you take the plunge.
Get ready for some intense learnin'. Give yourself some time. Christmas vacation would be good.