I assume you want to know what the saying means. It would be more polite to ask a properly phrased question, such as "What is the meaning of the phrase Fire a warning shot?"
The expression is nautical in origin. A warship might fire a shot deliberately wide across the bows of another ship to warn it, intimidate it, or force it to halt by a display of superior force, but without causing any damage. It has come to mean a warning that something bad will happen to you if you continue doing whatever it is the other person doesn't like.