My son had a lab that was gun shy. He turned her into an very good retriever, not at all afraid of guns. He started with an air rifle, then a 38, primers only, then 22, and so on. He gave her treats each time he shot and really made over her. Then he did water retrieves, only fired after she was in the water. She had no choice other than to bring the dummy back or swim across the lake. As she got better he would fire as she was coming out of the water to him. This took a whole summer he worked with her 24/7. They were always together.
If you looked into clicker training, you may find it would help also. Never tried it myself, but my wife did just buy me a clicker.
As with horses, you make what you want them to do easy, and what you don't want them to do, hard. Easier said than done!
Hud