Warning of Capone with gun (5)
I believe the answer is:
alarm
'warning' is the definition.
(I've seen this before)
'capone with gun' is the wordplay.
'capone' becomes 'Al' (gangster Al Capone).
'with' is a charade indicator (letters next to each other).
'gun' becomes 'arm' (I've seen this in other clues).
'al'+'arm'='ALARM'
'of' is the link.
(Other definitions for alarm that I've seen before include "Warning sound or signal" , "Security device" , "Agitate" , "Device to signal danger" , "Frighten, disturb" .)