The firing range is just out of Phnom Penh in the direction of the airport. It involves a couple of unsealed roads and one checkpoint as you enter the compound, so it is better to have a driver take you there.
They have approximately 50 different kinds of weapons which you can fire, throw or set off. They range in price from $20 to $250, depending on what you want to try out. They run you through a cursory safety demonstration before using each weapon.
It`s a bit unusual but not something you can do in your home country.
If you want more information about this place or the `full story`, I wrote a travelogue about it on my Phnom Penh home page.
The coolest ting to do off beat is to visit one of the Cambodian Military outpost and fire and array of automatic, semi-automatic weapons. They have AK46, M16, Machine guns, pistols etc. I got to fire a range of weapons for 80$. Just ask the Limo guy you hire(20$ a day) and he will take you to where you can check it out.