The Weapons Locker in Mass Effect 2 is where Shepard stores all available weapons that the squad can use, and is identifiable by the M-8 Avenger assault rifle icon. Through interaction with the weapons locker, Shepard can change the weapons that the squad will equip in that mission. Using the locker also gives Shepard thermal clips, and full ammo capacity may be achieved by repeatedly accessing it (however no more than twice is typically necessary). A weapons locker is typically found shortly after finding a new weapon, allowing Shepard (and any squad members present) to switch back to a previous weapon if the newly acquired weapon is not to the player's liking.
Note: Swapping any weapon, regardless of which weapon on who is being swapped, will remove all ammo powers from all squadmate weapons, including Shepard's weapons. Be sure to reapply them after switching weapons.