You just need to go to your local police dept. (if you are not in city limits that would be the Sheriffs Dept.) and fill out the application. I believe the fee is $10 to get the application filled out and fingerprinted. You then mail the application/fingerprints along with a $30 money order to the State Police. Some departments require you to get the application signed by the police chief (which means waiting) others just fill it out and hand it to you.
I BELIEVE THE FOLLOWING TO BE TRUE, BUT YOU SHOULD CONFIRM IT BY READING THE LAWS AND/OR CONSULTING AN ATTORNEY!
In Indiana you must have a permit to transport a firearm in a vehicle unless you are taking it (unloaded and secured in the trunk) to/from the store or gunsmith.
Once you have a permit, you can keep a loaded firearm in your vehicle.