By the sounds of things, you're checking for collision on a bullet object based on it's current position. Thats wrong. You need to use an intersection ray being cast from the bullet's old position to the bullet's new position, checking for intersection with any enemies / walls etc. You may also consider not even using a bullet object, as most weapons shoot bullets so fast that you cant see the bullet. In most games today, instead of using objects they just cast an intersection ray from the player's gun to a point far out infront of the player's gun, checking for collision.
If you dont know what an intersection ray is, do a search for sparky's collision, intersect object, intersection ray, and bullet collision. If that doesnt help do a search for Massive Collision Resource, a thread I made a year or two ago containing tutorials and demos about information on checking for different types of collision.
And yes, this belongs in the Newcommer's Corner board, not 3D Chat.