Of all the rational things that could go on in this game, this one is hilarious to me.
Why would he have a gun? It's a porn game and Henry finds shiny things in a park. Also, look at the size of his dick: realism isn't top priority here.
You need to buy the bonus room for your house, then the key will randomly appear in the park instead of a talisman. There's a dartboard for the bonus room in the chest