In online games it says other people are finding guns on the map and other people in chat tell me to pick up guns from dead bodies. From what I've tried though, none of these work and I have played 7 hours of spy so far trying to get a weapon, can I only get weapons of that class I'm currently using, or how can I pick up weapons in Multiplayer?
As of the Gunmettle Update, it is now possible to pick up weapons:
New feature : Weapon exchange and pick up. Weapons dropped by killed players can no longer be picked up for ammo. Killed players will now also drop a medium ammo box. Players that can normally equip the dropped weapon (proper class) can look at the weapon and press the 'action key' to exchange it with what they have equipped. The player's equipped weapon will be dropped on the exchange.
This does mean that only weapons supported by your class can be picked up. No flamethrower-wielding scouts nor Rocket jumping Engineers will be seen.
Note that you won't 'own' the weapon, you will use it until you die (or swap for another weapon). You will respawn with your normal loadout-equipped weapon.
Press the 'action key' (normally bound to H) whilst looking at a discarded weapon to equip it.
You can't actually pick up enemies weapons when they are dead.
When you find enemy weapons or ally weapons that drop when they are dead, they can only be used to refill ammo you need or metal (if you are an Engineer)
To actually get different weapons you can wait for an item drop (play for a little bit), have someone trade you one, or buy one off the Mann Co. Store (word of advice, this is not advised)