Fullmetal Alchemist and the Broken Angel uses a special weaponary gameplay. Ed or Al don't originally come equipped with any weapons, like a standard issued gun or a rod or something like that. Because Ed and Al are Alchemists, their weapons can be created from any transmutable object, which is just like anything. When you run to a item or object, there will be displayed different colors, a color corresponds to Edward or Alphonse.

Edward Elric : Red and Green
When there are no objects available, Edward can transmute his sword from his Automail Arm
Alphonse Elric : Blue and Green

In addition, the weapons can be transmuted with certain elements. To do this put a weapon down and hold [O] Button to transmute them again. You will also need items such as Wind Element, Fire Element, or Lightning elements to do this.