Pick up the woman with the gun (6)
I believe the answer is:
gather
'pick up' is the definition.
(both can mean to learn or find out something)
'woman with the gun' is the wordplay.
'woman' becomes 'her' (her refers to a woman).
'with' means one lot of letters go next to another.
'the gun' becomes 'gat' (gat is a kind of gun).
'her' put after 'gat' is 'GATHER'.
'the' is the link.
(Other definitions for gather that I've seen before include "Bring or come together in one place" , "Collect or come together" , "Collect together in one place" , "Accumulate, amass" , "Accumulate, garner" .)