Hey there BigDream,
It's not hard, particles are the way forwards I think. You will have to mess with it for a few minutes, but you should soon get the hang of it.
Look at the properties and read through them.
Insert a particle object. Double click on it to open the image editor and make the brush size very small. select a grey colour (or whatever colour you mist spray will be). draw a few dots in a sort of cloud shape, but leave lots of space between the dots.
You can rotate the spray cone using the line with a square frame on the end of it. Line it up with you weapon.
To get a broad spray needed for your example, you will have to open up the spray cone to 100. Rate to 40 and give it a try.
Should be in the right direction for you.