If the bank had a guard, even if the guard was armed, he's not firing it in any situation where there is any chance of causing harm to innocents.
I worked in the banking industry. I was present at three separate instances of my bank being robbed (I live in Reno---no further questions, Your Honor.) In two of the three cases, I didn't even realize the bank had been robbed until I heard someone behind me say "we just got robbed" and I (and my customer!) were like "really?" The third case, I was standing right next to the teller (I was an assistant manager) and didn't make a move because the guy was...let's say...a bit more "stereotypical" in his meth-addled (like I said, Reno) crazy. Even then, our guard wouldn't have discharged his weapon...there were a dozen other customers in the branch, not to mention eight tellers, four bankers, and three members of management.
Anyway, to answer your "how do you rob a bank without a gun" question, you act like you've got one (tellers are trained to cooperate because, as my boss said, "the money's insured and easily replaced. Your life ain't.") Then you hand a note to the teller saying something like "this is a robbery, give me all your large bills and don't make any false moves" (having never been the teller robbed, I couldn't tell you exactly what the notes said) and hope you get to Mexico before the FBI finds you. Robbing a bank is a federal crime, meaning you get sent to Federal Pound Me In The Ass Prison for twenty years (and considering the average bank robber's haul is less than $2,000, it ain't worth it.)
EDIT: Also, alerting the guard isn't as smart an idea as you'd think, because if the suspect feels he's in imminent danger, he might just take out a few innocents or turn it into a hostage situation. The last thing a bank branch wants is a reputation like that. They'd rather just let the guy get away (at first) and use the video footage and teller's description of the suspect to give the FBI a solid lead.