Good/Safe Places to Shoot Near Grand Junction

Where is a good and safe place to shoot near grand junction? I have talked to a few people at work and all I hear is horror stories about some of these places, although I am new to the area so I'm not even sure where these places they are referring to are. Some of them mentioned you could take I believe 23rd road and go out into the desert and just shoot by yourself wherever, but I was not sure if that was legal, so I figured I would ask you guys that as well.