Check a map on how to travel from Denver to Woodland Park, CO. Take the Highway from Woodland Park to Garden of the Gods. Just before Balancing Rock there is a dirt road, Rampart Range Road, take it. I don't remember how far in but you will not miss it - there is a free outdoor range. There are separate areas for shotguns, rifles, and pistols. It used to be you needed a four wheel drive to get here but the dirt road was graded about two years ago and any car can drive in now (the place is trashed beyond believe as a result).
There is a lesser used free, outdoor range, on Gold Camp Road (behind Cheyenne Mountain) but you probably need a 4 wheel drive to get to it.
Another outdoor area is just past the city of Evergreen. Driving past Evergreen from Denver, you turn left going towards the river (don't remember names just recognize it when I see it). Many miles down this road there is an area on the right hand side of the road where people shoot handguns into a dirt slope. This is the area where people cut down Christmas trees - maybe somebody else on this forum can further ID this location.
I know I have shot firearms in many different locations in the National Forests in CO. Call the Park Rangers and ask them about this.
Please carry your trash out with you, even if everyone else is leaving theirs. Help keep Colorado beautiful - that's my favorite state.