Cache it, destroy it, or turn it in.
If you cache it, never tell anyone. EVER. Even aside from Gov't-related considerations, loose lips sink ships and attract thieves.
If you destroy it, destroy it completely and never tell anyone. EVER. If possible, melt the barrel, bolt assembly, bolt-carrier, and fire-control parts, plus anything else that has a serial number. Failing this, disassemble it down to the pins and springs, smash the wood, and drop the metal parts into -seperate- bodies of the deepest water you can find. In Dubai, getting in a boat and going for a spin might be adviseable, since you don't have lakes or rivers to distribute the pieces in.
If you decide to turn it in, call the police and honestly explain your situation. Do this, however, anonymously and from a payphone or call-centre. Ask what you should do to legally surrender the gun you found, but do not tell them your name. Even better would be to get a lawyer, ask his advice, and proceed from there. That way, if you -do- end up in trouble, you're already "lawyered up" and have some advantage.*
*I am not terribly knowledgeable about your specific situation in Dubai, so take anything I say with a grain of salt. For purposes of law, this should not be construed as legal advice.
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