You can use six different weapons, and upgrade them as you progress through the game. At first, you'll only have pistols, but shotguns, machine guns, and grenade launchers will soon be at your disposal. However, you don't want to waste any ammunition, because it is often quite scarce.
If you run low on ammo during the ten missions that make up the main adventure in Theseus - Return of the Hero, it'll be because you'll be facing thousands and thousands of bloodthirsty aliens. They attack in enormous waves composed of several hundred enemies all together.
Between missions, you can improve your character's abilities and buy new equipment, which will make the next levels a little easier.
Theseus - Return of the Hero is the sequel to the great game Alien Shooter, and uses pretty much identical gameplay. In other words: kill, kill, and kill, without worrying about anything else.