In the game each profile (gamer profile) has their own inventory for their own Resident Evil 5 save file. All they have in it originally is a Handgun. If you were to play with someone who hasn't started yet you could give them the best guns and they would be saved in their inventory. This would give that person an advantage if they were to play alone through story. In other words, we don't want someone starting with a infinite rocket launcher on their first play through. That's is why you cannot switch weapons.