There are two approaches. Either way you need to pick a specific frame of your animation to be the point at which you want the weapon to disappear.
1) scale - would need a separate bone for the weapon. In the animation you then set the bone's scale to 0 at the frame you want (choose controller type "none" for instant transition, if you choose "linear" the weapon would become smaller gradually).
I use Magos for editing bones and Matrix eater for attaching parts of the model to them.
2) visibility - have the weapon be on a separate geoset, and change the geoset's visibility to 0 at the frame you want.
I use MdlVis for moving parts of a model to separate geosets, and Magos for editing the geoset animations.