He should shoot at the ground.
If Mr. Black shoots the ground, it is Mr. Gray's turn. Mr. Gray would rather shoot at Mr. White than Mr. Black, because he is better. If Mr. Gray kills Mr. White, it is just Mr. Black and Mr. Gray left, giving Mr. Black a fair chance of winning. If Mr. Gray does not kill Mr. White, it is Mr. White's turn. He would rather shoot at Mr. Gray and will definitely kill him. Even though it is now Mr. Black against Mr. White, Mr. Black has a better chance of winning than before.
Today's brain teaser courtesy of Braingle.com.