Interesting. Well, I don't know what the movie portrays, but there are two ways that I know of to legally order a gun and have it delivered to your door (though I doubt either is exciting enough for a movie).
* You can get a Curio & Relic (C&R) license from the ATF which is basically a collectors license. It applies to eligible guns (i.e. not machine guns or SBRs) > 50 years old such as [0]. When you do an online/mail order the seller will require you to send a copy of your C&R license before shipping.
* Some guns aren't legally considered to be firearms by the ATF. This primarily (only?) applies to replicas of black powder guns [1][2].
Any other purchase must be sent to a licensed dealer, and when you pick it up from them you'll do the same paperwork as when purchased directly off their shelves.
* You can get a Curio & Relic (C&R) license from the ATF which is basically a collectors license. It applies to eligible guns (i.e. not machine guns or SBRs) > 50 years old such as [0]. When you do an online/mail order the seller will require you to send a copy of your C&R license before shipping.
* Some guns aren't legally considered to be firearms by the ATF. This primarily (only?) applies to replicas of black powder guns [1][2].
Any other purchase must be sent to a licensed dealer, and when you pick it up from them you'll do the same paperwork as when purchased directly off their shelves.
[0]: https://www.classicfirearms.com/m9130-hex-receiver-russian-m...
[1]: http://www.cabelas.com/product/shooting/black-powder/traditi...
[2]: http://www.cabelas.com/product/shooting/black-powder/black-p...