Andcat,
Messaieed Golf Course has a pro shop but I don't know if it's open to non members.
Whilst they didn,t used to have a great selection when I was a member I am not sure about now.
Olympic Sports (who have a small outlet in the City Centre Mall) may have more in their main shop.
Coming from Grand Hamad Avenue towards the airport it's on the right hand side just before you hit the "b" ring road. Most people in Doha will be able to direct you.
Good luck