I don't think this story got enough notice. I was wondering about this while watching the ID profile on Marty which aired last night and which got very little discussion. The one-hour program never mentioned this little chapter in Marty's SO history.
Anyway, when Marty was a new SO recruit in 1978 at "Big Blue" he was witness to a murder and nearly murdered himself, according to Jesse Prince's story here:
He then took the gun and pointed it at Marty and started to shoot - click, click, click - no more bullets.