[CodeCat]

Allright, never mind. I solved it myself. Here's the winning code:

WeaponSet
  Conditions        = None

  Weapon            = PRIMARY OverlordTankGun
  PreferredAgainst  = PRIMARY VEHICLE
  AutoChooseSources = PRIMARY FROM_PLAYER FROM_SCRIPT FROM_AI
 
  Weapon            = SECONDARY OverlordTankGun
  PreferredAgainst  = SECONDARY STRUCTURE
  AutoChooseSources = SECONDARY FROM_PLAYER FROM_SCRIPT FROM_AI

  Weapon            = TERTIARY MammothTuskMissile
  PreferredAgainst  = TERTIARY INFANTRY
  AutoChooseSources = TERTIARY FROM_PLAYER FROM_SCRIPT FROM_AI

  ShareWeaponReloadTime = Yes
End

So, as you can see, I cheated a bit by giving it the gun twice. It uses the first gun against vehicles and the second against buildings, but because the two are identical you won't see any difference ingame.