I may be put on a number of watch lists during my researching to answer this. :P
My criteria for making the bullet undamaging is this: if the bullet has been boiled into a vapor, it is no longer capable of damaging your pyrokinetic. This is a bit strict, but easier to calculate. You may want to lower the temperature to compensate.
A Beretta M9 has a muzzle velocity of 381 meters per second. This means that the bullet will be passing through the fire barrier in more than 66.6 microseconds, depending on the distance between the gun and the barrier. That is a very short time (emphasis on very) for the bullet to be rendered ineffective.
Rifles have a greater muzzle velocity, so their bullets would have a much shorter time to be vaporized.
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I am assuming primarily conductive heat transfer over the time span required, and that the energy imparted by the firewall would be distributed constantly over the entire bullet. I admit that is somewhat of a stretch. The bullet starts at around $50 °C$ from the gunshot. Vaporized means that the entire bullet has reached $1749 °C$, which is the boiling point of lead. This means that the bullet must increase around $1700 °C$ in 66 microseconds. Given that amount of time, the lead must increase in temperature at $25757575.\overline{75} °C/s$.
The bullet is around 1 gram of lead (very approximate), so the amount of energy to increase the temperature of the bullet by 1700 °C is 21.76 Joules (ref). That's around 329697 watts of heat transfer needed throughout the 66 microseconds.
That much power requires extreme amounts of heat around the bullet. (I don't actually remember my line of thought after here, but I did calculate this.)
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You'll need a temperature of around 3,000,000 Celsius (5,400,000 Fahrenheit) to vaporize an unjacketed lead bullet. That is more than five hundred times the surface temperature of the sun.
Chances are, with that much heat two yards away from your pyrokinetic, getting shot would be the least of his concerns.
A quick message to your pyrokinetic:
Dear pyrokinetic, Please do not try to block bullets with fire.
You'll probably burn yourself to death. Perhaps you may consider the
saying "The best defense is a good offense"? If your enemies are
unable to shoot you, you won't get shot.
Perhaps instead of blocking the bullets with fire, you may explode
their cartridges in the magazine, or melt the firing mechanisms of
their guns. Just try to keep at a good distance, and be aware of your
surroundings.
Don't get shot.
Best regards,
A concerned citizen