It's been a while since I've seen it, but isn't that the first time she held it in the episode? I always assumed that the writers were trying to say that the appeal of the gun was felt once she held it - perhaps granting a feeling of power, coolness or, more likely, security - and that she therefore wanted to keep it, despite her earlier protestations. Depending on how much you trust the writers of the episode, it could be interpreted as a message about addiction - wanting and using something you know is bad for you, even in spite of previous objections to it.

I personally never liked the episode because the copy I had had some weird corruption, so the video and especially audio were grating.