Are real guns used in movies?

This article gives a proper insight as how guns are used in movies.

Blanks

Blank-fire guns are real, working weapons that have been minimally modified to fire blank cartridges. Blank cartridges contain gunpowder, but do not fire a shell or bullet. They are used for scenes that require a believable muzzle-flash and a loud report. They can be costly and dangerous.

Function Guns

"Function" guns are essentially highly detailed toy, replica guns. They look and feel like real guns and can be loaded with realistic looking brass bullets, but they do not fire. These are typically used for scenes that require an actor to brandish and manipulate a firearm but not fire it. These are just for show.

Rubber Guns

Rubber guns are just that, fake guns made of rubber. These are used for scenes that require several, non-firing weapons to be present. These are the most cost-effective props, but do not look real in closeup and do not make any noise.

Suicide Guns

Basically the same as blank guns--though not as realistic--but they do not create a muzzle flash. The barrel is sealed and are just used for sound effects.

There is one master who is in charge of this dangerous shots. He is known as Weapon Master.

Weapons Master

A weapon's master works with all the prop guns on a movie set. He is in charge of maintaining, storing and ensuring the guns are safely handled and never manipulated. The weapon's master must handle each prop gun before and after each time the weapon is used.

Another article describes what types of guns these are (like what are they made from, type of the gun etc) used in the movies.

Hard Rubber Guns/Hard Stunt Guns

Prop guns, cast from real firearms in a hard and durable, high-density urethane rubber. These prop stunt guns are characterized by their durability, inflexibility, and detailing. As a rubber casting, there are no moving parts but appear real from a distance. These hard rubber guns are used in scenes that don’t require a firing or functioning prop and that are not shot in close-up.

Soft Rubber Guns/Soft Stunt Guns

Prop guns, cast from real firearms in a significantly softer rubber. These prop stunt guns are characterized by their flexibility and softer detailing. As a rubber casting, again, there are no moving parts but can act as a substitute for a real firearm under specific filming conditions. Typically, these soft rubber guns are used in scenes that involve possible injury to the subject while filming. These are most often used in true “stunt” scenes.

Function Guns

Prop guns, constructed of metal, with moving parts. These typically feature a working slide, trigger, and hammer, and allow insertion of magazines. These prop guns have no chamber and cannot be modified to fire real “live” ammunition. These function guns are used in scenes in which a gun is manipulated by an actor during filming, but not fired. These are also used by actors not legally capable of using a true firearm.

Blank Fire Non Guns

Prop guns, constructed of metal, with moving parts, capable of firing blank cartridges. These typically feature a working slide, trigger, and hammer. These are designed to use proprietary, uniquely-sized blank cartridges (real “live” ammunition cannot be chambered or fired). These are characterized by a solid barrel so that no flash or blast or projectile can be fired through the muzzle. Gas pressures are vented through a slot in the slide. The prop gun will fire and the slide will cycle; the expended cartridge ejects similar to a real live firearm.

Blank Fire Live Guns

Real, live fire firearms subsequently converted to fire blank ammunition. As real firearms, they are imprinted with unique serial numbers at the time of manufacture. The firearm is modified in a variety of ways (dependent on the make and model of the weapon) to fire blank ammunition, which is sized to match the real ammunition.

Also if you want to know what shots seems to be a myth and aren't real, you can visit this article. Some popular believed myths and their viability is discussed here.

As far as the Matrix Reloaded is concerned it is well known that Matrix series is famous for their extensive usage of visual effects in filming. They used CGI and Bullet Time filming techniques in the movie. In fact Matrix won Oscar for visual effects. FYI, the single highway chase scene was filmed for such a long time that is more than a films total shooting period. A review elaborates it:

And then there's the already infamous Freeway Chase. This scene was a potential classic. The albino twins (Neil and Adrian Rayment) are the most compelling baddies in the picture. The two can morph into a ghostly form to fly through walls. Too bad their key sequence takes up nearly 10 minutes of the picture, before they hit the freeway and the much-touted road-rage truly kicks into gear.

The Freeway Chase suffers immensely from extensive use of CG and motion capture. When Morpheus is fighting an agent on the top of a huge 18-wheeler, the CG causes him to look like a long-lost Tiny Toon. To see main characters such as Morpheus converted into cartoon form distracts from the action. The Freeway Chase isn't an absolute waste: Trinity on her motorcycle is a wonder to behold. Your pulse should quicken when you see her zooming through oncoming traffic at what appears to be 80-100 MPH.

If you are interested you can read their wiki for more info on their effects usage!

Define "penetrating the body of the car".

If you mean "You see bullet impacts in the body of the car", that is achieved with squibs

If you mean "You can see bullet trails INSIDE the cab of the car", that is almost certainly also squibs to create smoke and debris. If you see actual bullet trails in slow motion, that would be done with CGI.

In general, some films certainly use real guns, but never real bullets. For almost all scenes where guns are not being fired, prop guns are usually used because real guns are much heavier than you might expect, and it's easier to act with lighter plastic guns.

I installed the phone lines used on location for the movie "The Rock," and I can tell you with near absolute certainty that the guns used there were real. I know this because on one trip out to the island the guns being used were also being shipped. Had I not already had my location pass, ID, etc. (and the boat and movie crew knew me), I would not have been allowed on the same boat. The locker was under armed guard and had several locks.