If it was one of those independent and gritty war movies, he would have shot her and held her tight, as if kissing her (if the movie was French, he would have actually kissed her), while she bled out in his arms. If it was a Hollywood production, he would have shot all the enemy soldiers and a tank with his sidearm. From there, it could have taken one of two paths: 1) She gets hit by a stray bullet and dies in the hero's arms, creating an "oh, the irony!" sad ending. 2) He gets hit by a bullet and dies in her arms, relieved that he could trade his life for something meaningful after all. Classic bittersweet ending.
If it was a video game, there'd be three options to choose from, two of which lead to the same bittersweet ending and the last leading to a very ambiguous ending that requires a DLC to understand. There'd also be a prequel-sequel that would expand on the heroine's life up until the beginning of the first game.