Many guns use some form of ammunition which means they have a magazine capacity. Your overall ammo supply is unlimited but you do have to reload from time to time.Keep your eye on the ammo counter above the skill bar to see how much is left in your current magazine. 

Energy weapons in general don’t use ammunition and magazines, effectively allowing you to shoot without reloading. However, energy weapons generate a fair amount of heat and are thus prone to overheating.

When using an energy weapon, the Ammunition Bar is replaced by an Overheat Bar. This will slowly (or sometimes quickly) fill up as you fire and go back down when you don’t. If you fill it up completely, the weapon overheats and you won’t be able to fire it for quite some time. 

Different weapons have different overheat values. A lasgun will take far more shots to overheat than a plasma rifle.