Mickey Blue Eyes is a 1999 an Anglo-American romantic comedy crime film directed by Kelly Makin. Hugh Grant stars as Michael Felgate, an English auctioneer living in New York City who becomes entangled in his soon-to-be father-in-law's mafia connections. Several of the minor roles are played by actors later featured in The Sopranos. Wikipedia
Frank Vitale: (referring to the dead body) We're gonna need a bag.
Michael Felgate: Right.
Frank Vitale: (returns with a sandwich bag) What the hell am I suppose to do with that?
Michael Felgate: I thought maybe the gun?