Make an outline of what you want to happen. Person X gets killed by Person Y; it happens at an abandoned warehouse late at night; the weapon is a gun.
Give your characters motives, both the murderer and the victim. The murderer doesn't have to know the victim, but could feel the victim is some sort of threat to the murderer and what he wants. As well, the victim could be trying to stop the murderer or insisted on going to the dangerous warehouse for some sort of personal gain. Give your characters wants and desires. This makes them more interesting to readers, and makes the murder more powerful.
Write your scene, keeping a straight face throughout. This means giving the facts and presenting the information in a calm, straight-forward manner, which can actually make things more intense, as opposed to over-the-top language. Instead of "The sadistic evil man was carrying a gun! His eyes were blazing with devilish laughter," write, "The man pulled the gun out of his pocket, lightly dusting it off before taking aim at Person X, who crumpled like a stack of cards upon being hit. Placing the gun back in his pocket, the man walked out of the building and back to the dinner party."
Build suspense throughout the scene. There should be complications along the way. The first shot doesn't hit the target, the target fights back or the gun doesn't fire properly. If the murder happens too quickly, the reader hasn't been drawn in yet. Building suspense increases the reader's heart rate.
Use short sentences to give a quick pace. "She grabbed the gun from the table. It shook in her hand. She briefly reconsidered, but she knew what she had to do. He must die. He must die now."
Use long sentences to heighten intensity. "She firmly held the knife in her hand as she dangled it over to Person X's body, his choked breathing coming quicker now, and she contemplated tossing it back and forth between her hands to build the suspense a little longer, but figured a quick show was in order."