Frankie and Jeff decide to do a little investigation of their own, and search Tex's room to see if they can find anything. The only thing of interest is a picture of Anne, suggesting that her real name is Gladys. Anne is therefore suspected of the murder and arrested by the police. However, a while later she makes bail and is released.
Frankie discovers from a radio station in Cheyenne that the shooter Gladys Wharton was a blonde woman who fell for one of her superiors and left her husband - Tex. Since Anne is a true brunette, Frankie concludes that Rita could be Gladys instead of Anne.
When all the station executives are gathered in one room by the police, one of them, Van Martin, pulls out a gun and confesses to both crimes. When Jeff enters the room unannounced, he accidentally knocks the gun out of Van's hand and the police arrest him.