I need a title but this is all I can remember:

There is this scene where some guy is robbing a horse drawn carriage (carrying gold I think) in the old west, but he is using a gun that is from the future.

I think he travels back and forth between the past and present and someone is trying to capture him.

Please help!

Sounds very much like Jean Claude Van Dam in Timecop

Here's a link

Nope, sorry it's definitely not timecop. The gun was like a futuristic gun, it was just like a regular gun from the 80's or 90's but the guy had it in the past.

I think the film you are looking for is called Timestalkers.
Here is the link: http://www.imdb.com/title/tt0094154/

I remember the film, and also that John Ratzenberger was it in (Cliff from Cheers) and a quick trawl through imdb gave me the link above. Hope this helps.