UPDATED 5.44PM Police are warning friends and family of the victim of a fatal shooting in Sydney not to take matters into their own hands.

A 40-year-old man was shot dead in the carpark of a Bankstown shopping centre in the city's southwest, and two bystanders were injured by the gunfire.

It is understood the victim is Walid Ahmad - a well-known crime figure who has previously been jailed for manslaughter.

Mr Ahmad has links to a smash repair business that was the scene of another fatal shooting earlier this month, in which one man was killed and another injured.

Daily Telegraph reporter Ben McClellan said information is still coming to light as police work to apprehend the shooter.

"We do believe that the victim was a man who was wanted for questioning in relation to a fatal shooting at Condell Park several weeks ago outside a smash repair business that he ran.

"He's well known in the Middle Eastern crime world, and had also previously served time for murder more than a decade ago."

A man and a woman also suffered gunshot wounds to their legs - both have been treated by paramedics and taken to hospital.

Sky News correspondent Eliza Edwards said there were lots of panicked people trying to get to their cars at the shopping centre carpark where the shooting took place.

"Witnesses say they heard up to six to eight shots. One witness said they came so quickly they couldn't even determine how many they were."

But Detective Superintendent David Eardley is urging those involved to keep a cool head.

"They will be dealt with under our law. There is no need to resort to any type of action that would jeopardize their safety, their family's and the public's. So I urge them to not take any action upon themselves and leave it to police."

It's understood the gunman is on the loose and police and helicopters are searching for him. 

Police are also searching for a vehicle, believed to be a white Mercedes, reportedly involved in the shooting.