(CNN) -- Weeks after they found Odin Lloyd's bullet-riddled body in a Massachusetts industrial park, investigators are still searching for a key piece of evidence: the gun used to kill him.
Prosecutors have accused former New England Patriot Aaron Hernandez, 23, of orchestrating the death of Lloyd, who was shot five times with a .45 caliber handgun.
The latest police search for the weapon -- at a lake in Bristol, Connecticut -- didn't turn up the gun, a law enforcement official told CNN Wednesday.
Investigators with a Connecticut State Police dive team who've been looking for the gun plan to return to the area next week to search a smaller body of water nearby, the law enforcement official said.
The former standout NFL tight end has pleaded not guilty to murder. He is being held without bail.
Authorities have said Hernandez, Carlos Ortiz and Ernest Wallace picked Lloyd up from his Boston apartment in the early morning of June 17. Surveillance cameras showed the car at an industrial park near Hernandez's North Attleborough, Massachusetts, home.
Lloyd's body was found in the industrial park later that day.
Ortiz has told authorities that Wallace said Hernandez fired the shots that killed Lloyd, according to a court document.
As part of their investigation into the high-profile case, police have homed in on Hernandez's hometown of Bristol. And a house there where Hernandez's uncle and cousin live has become one focal point.
The house is near the lake that police have been searching.
And court documents say that Hernandez's cousin, Tanya Singleton, learned of Lloyd's death at the house, where she allegedly spoke with Ortiz.
A search warrant affidavit states that Ortiz -- who sources say is cooperating with authorities --- says that he and Wallace drove to the Connecticut home, where he told Singleton about Lloyd's death. The affidavit also says that Singleton later bought a bus ticket for Wallace.
Wallace was charged with accessory after the fact to murder and has pleaded not guilty. Ortiz has pleaded not guilty to a weapons charge.
Singleton was arrested and jailed on a contempt of court charge, according to jail records.
The charge is for allegedly failing to comply with a grand jury investigating Lloyd's killing, the law enforcement official said.
She was released from the Bristol County Sheriff's Office Women's Center in Massachusetts on August 1, according to jail records. It is unclear whether she was transferred to another facility or decided to comply with the grand jury.
A spokesman for the Bristol County District Attorney declined comment to CNN. Attempts to reach Singleton and her family were unsuccessful.
At the Connecticut home, authorities also discovered a dusty SUV suspected of being linked to an unsolved double homicide in Boston last summer, sources told CNN.
Hernandez has not been charged with anything in that case, but a law enforcement source has told CNN that Boston police were "very active" -- and making progress -- in trying to connect the dots that could link him to the shooting.
CNN's George Lerner contributed to this report.