No, there was actually an episode of Myth Busters about this exact subject:
They had to try really, really hard to cause an explosive decompression, resorting to actual hollywood style explosives to make it happen.
Most airliners can actually even maintain normal pressurization even with a coffee can sized hole in the fuselage.
As far as firing their weapon on board the aircraft, they are trained to not shoot towards areas like the cockpit or the floor where most of the "important" stuff is. Avionics, hydraulic lines, electrical wiring, etc. don't take bullets well. The rounds that they use would put holes in the aircraft, but as the above episode shows it won't create a pressurization problem.