Do you mean that the message is sent only to the Player object, and you need it to propagate down the object hierarchy to your gun object???

If so, you want to use BroadcastMessage instead of SendMessage (with the same parameters).

Since you're assigning an integer to your ammo variable I suspect the addAmmo() function should take an integer as well (instead of float):

function addAmmo (ammo : int) {
    Ammo += ammo;
    Debug.Log("PickUP");
}

Put this on the ammo box (in a collision check):

collision.gameObject.SendMessage("addAmmo",ammo,SendMessageOptions.DontRequireReceiver);