I had to look up the scene for more context.
The dialogue is hostile due to earlier parts in the movie. The Avengers are being treated with hostility because of their tendency to destroy large parts of cities while they save the world. Jumping forward to the lines in question...
"What about our lawyer?" When someone is being arrested or interrogated in the USA they have certain rights. One of those rights is to have a lawyer present for legal council so that they don't say something they shouldn't.
"Lawyer. That's funny." It's funny because even though they are being treated like criminals, they aren't actually under arrest for anything. So, they don't actually need a lawyer.
"See their weapons are placed in lockup."
He is telling the guard next to him to take Captain's, T'Challa's, and Sam's weapons and lock them up in a secure location. This is standard procedure in movies when two hostile sides meeting. The visitors' weapons are taken from them to ensure they can't fight. (This is funny because their ability to fight doesn't rely on weapons).
"Oh, we'll write you a receipt."
He's being a smartass by saying he will give Captain, T'Challa, and Sam a written record of what they are temporarily taking from them. It's obvious which weapons would be theirs because they don't use typical guns or knives.
"I better not look out the window and see anybody flying around in that."
He is talking about his jet pack / wings. This is sarcastic comment. No one would actually use it to fly around in, but he's making a point that he isn't happy about it being taken from him and no one should attempt to use it.