[Pierre-Marie Baty]

Scripts can only do what a normal client is allowed to do, hence you can not display text at arbitrary locations on the screen nor display sprites or icons. What you can do though, is record the name of each weapon in a .WAV sound file, put them all in the sounds folder and then have your script issue the command:
play "weapon_name.wav"
when you select this weapon.
Since play commands are client only commands only you will hear that sound, it will not be propagated on the network.