It depends on your state. Here in Indiana, for example, Gov. Daniels recently signed into law that an employer cannot take disciplinary action against an employee who keeps a firearm in his or her car so long as said firearm is "not in plain view". The company that I work for is a nationwide corporation and does have a corporate no-weapons policy, however, specific exemptions are made to comply with Indiana law and similar laws in other states.
As others have said, assuming your state has no law similar to that of Indiana, your employer may take disciplinary action such as terminating your employment if you are found to have a weapon in your car so long as your car is parked on company property. If, however, you are not parked on company property, like you park on a public street or in a public parking lot or parking garage, there is likely little that your employer can do. It is unlikely that your employer could take any legal action against you for keeping a gun in your car, but you should check your local laws, specifically those regarding trespassing and CCW, before assuming this is automatically true.