Illinois has pretty strict gun ownership rules.
You can't even buy ammunition without a "firearms owners permit".
The owners permits are easy to get; however, unlike most states, you don't just have a right to own a gun...You must file the paperwork.
Even out-of-staters have been known to run afoul of this law as they were transporting guns accross state lines (As out of staters, they don't hold a Illinois "firearms owners permit". Thus they can't legally have a gun in their possession, or even in their car in Illinois. And they can't walk into an Illinois Walmart and buy shotgun shells either.