Contact the BATFE office in your state.
In general, this is governed by state law, not Federal. Resident aliens are not prohibited by Federal law or regulation from owning or purchasing firearms. Several states will also issue licenses or permits to carry concealed handguns to resident aliens, defined as non-citizens who are in the United States legally. The Bureau of Alcohol, Tobacco, Firearms, and Explosives in the state where you live will likely know that state's laws as should any federally licensed firearms dealer - retail gun shop.
If you check your state laws and discover that purchasing a firearm is not permitted, seriously consider moving to another state where the right to keep and bear arms is not infringed (or at least less infringed).
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