Call the cops...right there and then, they can handle the rest.
But if I feel really lucky, take a cloth or something else, pick it up with it to prevent prints, check the chamber, unload if needed, de-cock the hammer, put it in something convenient like a plastic bag, if I happen to have one, then take it to the cops.
While I do feel like just keeping it, and sometimes even feel like fucking shit up with it and kill people, in a real situation, the most logical thing is to just call the authorities. It could be evidence, used in a crime stained with AIDS, the hell do I know. So better not mess with it.
Also, I did already find gun parts, as a kid tho, I didn´t quite know what the hell they where, but in hindsight, I remembered them being Mauser rifle parts, a bolt and a scope...so obviously either a german soldier took it apart and tossed it into the woods at the end of the war, or someone left them there recently (Mausers are still widely used for hunting or competitive shooting...or for friggin fun shooting at the range, they work great and fire a solid round.), I did not know.