Characters start with two weapons from any weapon groups, and as such are considered to have proficiency in those two weapon groups (and are given the corresponding proficiency perks). In order to use weapons from any other groups past that point, you must purchase the corresponding perk to 'unlock' them. 

Using a weapon you don't have proficiency in will hurt your attack and damage rolls - you will have to roll twice and take the lowest score for attack, and halve your damage. The same is true for using a weapon outside of its intended range (e.g. trying to use a rifle for short range).