There is no requirement to register any firearm in Wyoming.
When Walt and Vic talk to Henry in his bar, he tells them to approach anyone they're trying to sneak up on from upwind, or their odor will give them away. Since upwind is the direction the wind is coming from, they should actually approach from downwind if they don't want to be detected by smell.
Philly gets wrapped around the Axle over weather a Gun is registered and seems to believe it implies Guilt. Wyoming has no Gun registration laws. No permit to buy either.
At the very end of the episode Cady enters a Denver police station and talks to a Denver officer, whose uniform has police patches on the sleeves. Denver police officers don't have sleeve patches.
Walt mentions a college in Bozeman, but there's no such college there or anywhere else in Montana.