In the movies, the first priority is to remove the bullet from the victim, usually in a dramatic and agonizing way. Once the bullet is removed, the victim is miraculously cured.
In reality, the first priority is to stop the bleeding. Most of the time, doctors won't even attempt to remove the bullet. The bullets are sterilized from the explosion, and you'll generally do more harm than good by trying to remove it.
But worse than all of this is what happens in movies when people are shot. People inevitably fly backwards, sometimes tens of feet. There's a nice Quora answer about this [1]. I get the need for a great action shot, but it's a thumb in the eye to everyone who actually has even a ballpark concept of kinetic energy delivery.
[1] http://www.quora.com/Guns-and-Firearms/Does-shooting-someone....