You may want also want to check out the following article
Importation or Transiting Procedures Through Countries with Weapons & Ammunition, once on that page under the section
Weapon / Ammunition Transiting Procedures by Country scroll down to
Germany Weapon / Ammunition Transiting Procedures.
As mentioned by Red Leg and BRICKBURN's, I would try to check all luggage (except of course carry on luggage) and firearm through to your final destination airport, Windhoek Airport. Get in contact with the airline that is taking you to Frankfurt to find out if they will transfer your luggage to Air Namibia so that you don't have to pick them up in Frankfurt.
You will find Air Namibia's check-in counters at Frankfurt Airport in Terminal 2. You will more than likely arrive in Terminal 1. Frankfurt Airport has presently two passenger terminals adjacent to each other, Terminal 1 and Terminal 2 (T1 & T2). Both are connected by the Sky Line monorail and the free journey takes about 2 minutes once on board. The Sky Line monorail is accessible to passengers in transit who have not gone through customs (so you don't have to go through security) or from the German side of the airport.
The suggestion by Red Leg to take a day room at the Sheraton Frankfurt Airport Hotel on your way to Africa is excellent, the hotel is connected to Terminal 1 and is easily accessible by an enclosed catwalk, a five minute walk from the Air Namibia check-in counters. This is what I usually do.
There are lots of lounges, places to rest and sit, restaurants, bars, shops... inside the airport while in transit waiting for your flight, however you should know that once you have passed customs to enter Germany, Frankfurt Airport has not that many interesting things to offer from that side. Once you have gone through the German customs, you will need an Air Namibia boarding pass to be able to re-enter the transit area in either Terminals, so if you are not going to stay at the Sheraton, I would suggest trying to stay within the transit area...