Absolutely no way I would turn the guy in just because I think that maybe he might know that someone possibly did something wrong. Personally I would simply draw up a bill of sale and ask the guy to sign it when you buy the gun.
A major source of objection to a free economy is precisely that it ... gives people what they want instead of what a particular group thinks they ought to want. Underlying most arguments against the free market is a lack of belief in freedom itself.
- Milton Friedman