The Captive Bolt Pistol is the main and favorite weapon of the villain Anton Chigurh.
It is actually used for killing cows and livestock. The bolt used by Chigurh is a penetrating one, which is propelled by air to crack skulls. It works by a bolt made of non-rusting iron where it propels the bolt and enters the skull to damage the cerebellum and cerebrum.
In the movie No Country For Old Men, Chigurh used it twice for killing. It proves its use to him as the victim is unaware of what it is and what it does. He also used it for opening door locks with immense power to propel the lock meters away from the door.