How should they shoot my character?

You could have your main character shot somewhere near a major blood vessel, so she bleeds out but not too fast. And as for another answerer's suggestion of gangrene--that's a bacterial infection, so unless you want the death to take several days, that's not going to work. Depending on which blood vessel the bullet hits or nicks, the gory details are going to vary. If she's shot in the stomach, she'll still be able to speak, but it would probably take a long time to exsanguinate as there aren't a lot of major vessels there. Unless the hitman is extremely lucky and manages to hit the inferior vena cava or abdominal aorta. If you want to write her coughing blood, she'll need to be shot in the lungs or trachea. Anywhere she's shot, the pain's probably going to be 10 out of 10.