Investigators trying to figure out how Sanchez got the gun or if he stole it. pic.twitter.com/6E5YsRLMp2 — Vic Lee (@vicleeabc7) July 8, 2015

Sources tell ABC7 news the gun Francisco Sanchez used in the Pier 14 shooting was stolen from the federal agents car. pic.twitter.com/MYPehNKlIn — Vic Lee (@vicleeabc7) July 8, 2015

#KateSteinle loved living life to the fullest. Her family wanted us to share these pics of her #smile. More at 6pm. pic.twitter.com/npkv10hozw — Chris Nguyen ABC7 (@ChrisNguyenTV) July 4, 2015

Parents of Kate Steinle told me #faith will keep the family moving forward and they're touched by the community's outpouring of support. — Chris Nguyen ABC7 (@ChrisNguyenTV) July 3, 2015

SAN FRANCISCO (KGO) -- A man accused of shooting and killing a young woman at San Francisco's Pier 14 last week pleaded not guilty during his first court appearance on Tuesday. ABC7 News has also learned that the suspect allegedly used a gun that was stolen from a U.S. Bureau of Land Management agent's car.Investigators are working to determine how Sanchez got the gun, if he stole it or if he found it, as he told ABC7 News in an exclusive jailhouse interview . The gun is a semi-automatic gun which divers found the day after the shooting in the waters off Pier 14. It is unclear whether the firearm was a government-issued service weapon or a personally owned gun.Earlier on Tuesday, with a translator standing by, Francisco Lopez Sanchez pleaded not guilty in Spanish. He faces a charge of murder with a gun enhancement. Bail was set at $5 million.Outside the courtroom, San Francisco Public Defender Jeff Adachi said the bail was set too high."Mr. Sanchez was only in San Francisco for a very short period of time," said Adachi. "He has no convictions in the state of California."Assistant District Attorney Alex Bastian then spoke to reporters."Well, today is about Kate Steinle," he said. "It's about this incredible family that's shown such strength in this incredibly difficult time. It's about bringing justice to that family."In a jailhouse interview with ABC7 News on Sunday, Sanchez admitted that he shot Steinle."Did you shoot Kate Steinle, the lady who was down at Pier 14.""Yes.""You did shoot her?""Mm hm," he said with a nod.Sanchez says he found the gun wrapped in a T-shirt at a bench on Pier 14 on Wednesday the day of the shooting and that the gun accidentally went off.His story has many inconsistencies. But his record has none -- five previous deportations and his release from San Francisco sheriff's custody in March even though ICE had a detainer on him because he was again in the country illegally.His record has ignited a national firestorm.San Francisco Police Officers Association President Martin Halloran fired off a blistering letter which reads in part: "He is an illegal alien, not an undocumented immigrant and if he was where he belonged (Mexico), this innocent victim would still be alive."They posted the full statement on their Facebook page In an interview with ABC7 News, Halloran added, "And if the politicians in San Francisco or in other cities that have similar sanctuary policies do not act on this, my fear is this will happen again."Sanchez goes back to court on July 27.San Francisco's local policy was questioned in the nation's capital on Tuesday. The chairman of the Senate Homeland Security Committee grilled a senior immigration official, asking how Sanchez could have been set free."Tell me specifically what is preventing us when we have people in this country illegally and they have had seven prior felony convictions, why aren't we able to deport those individuals?" asked Sen. Ron Johnson, R-Wisconsin.To which ICE Assistant Director Philip Miller answered, "In that particular case, our detainer was not honored."When asked who didn't honor it, Miller said, "San Francisco Sheriff's Department did not honor our detainer that we lodged."The city's sanctuary policy means it does not hold people who are here illegally. Local officials are saying federal officials know this and know how to work around it, but that they didn't."They know that they should have responded with a court order or federal warrant," said Sheriff Ross Mirkarimi.Federal officials say it's not feasible that they could do that for their hundreds of thousands of cases."So there's another criminal warrant but he was released into general society to create a murder, or commit a murder. I mean, does that make any sense to you? Because I'll tell you, it doesn't make any sense to the American public," said Johnson.