Shooting has been included in all bar two olympics. Before the gender separation of the sport at Sydney's Games of the XXVII Olympiad, women could enter events labelled as men's shooting. Only the British and Danish teams have competed at all the shooting olympic events.
Location - Keystone Park
Shooting : Very little is required for the area hosting a shooting event. Given the different events are largely variations on distance from target, all that would be needed was a space. There is a park (really it's just a big grassy bit) in between some houses just behind my house. From my experience of playing football there in younger days I know that it's less dangerous if the athletes avoid jumping into the surrounding gardens to retreive anything.