Well the short answer is it would keep on going forever. The longer answer is that it will crash into something, probably the sun.
You see space is really really big. And even though 2000 mph seems like a lot, its actually exhaustingly slow even in stellar terms. Even if you pointed the gun in the exact opposite direction as the sun, the bullet is only traveling at about 1/40th of the escape velocity of the solar system (from the Earth), and so will eventually impact the sun.
I say eventually because something moving that slow will take a while to get anywhere in space.