This film appears to be in what is now known as African American Vernacular English. Many non African American native speakers don't understand everything either. If you can google the phrases you might find the answers. I think COLD SHOT in this case generally means something like a cruel, heartless, or unfortunate event. I can't tell whether if literally means a shot.

Ok... I answered your other question in this link, https://www.italki.com/en/post/9PhKfSINEovk1S4MivAbJa but if you're just on here posting garbage, please stop. But to provide an answer of at least some value, you have to take the whole phrase in context: 'I look down an da motherf--king police knockin on da door, lookin fo somebody next door and man dis sh-t, cold motherf-ing shot'. So 'cold shot' here could mean two things. Either... 1) The police apprehended a suspect under less than idea conditions. or... 2) another citizen had revealed the whereabouts of the subject that was apprehended by law enforcement.