In the previous episode, Mulder was supposedly shot in the shoulder. But the gunshot wound seen during the dream sequences is clearly in his chest, not his shoulder. It would not have been able to "go clean through" as Scully stated, it would have pierced his lung and possibly his heart or aorta too.
At the end of Season 2 Mulder was locked inside a box car train which then is exploded. Then in the first episode of Season 3 he is found alive outside the shell of the boxcar undamaged (especially to suit) and hidden under rubble.
The rubble that Mulder is buried under is very obviously painted Styrofoam. Those types of rocks should not be glossy.