I always urge everyone to make sure your dog is properly introduced to gun fire in a very positive way. Since I have always taken great care with this issue, I have never had a dog in my care who developed the problem.
If you buy your pup from a reputable gun dog breeder, the breeder should have introduced the litter to all kinds of loud noises as well as bird wings and live birds. Your job as the new owner is to continue to expose your pup to loud noises--but carefully. Guns at a distance. (We recommend using a starter pistol that uses the same kind of ammo as a commercial grade nail gun. You can buy different strengths of ammo, the lighter of which produces a softer noise.)
Always associate the sound of gun fire with the excitement of a mark (an object thrown by a helper in the field who will fire the pistol at a distance away from the pup.) We train at a field that is next to a freeway, and the freeway noise muffles the sound of the gun fire quite a bit. We introduce guns there and then move out to more wide open spaces where the guns can be heard more clearly. Once our dogs are extremely birdy and used to closer and closer gun fire, we can expect to shoot over them with no problem. If properly introduced, the sight and sound of a gun should produce giddy excitement from your dog--not fear.
Fireworks can frighten a dog. Since we will have a hearty helping of fireworks tonight to welcome in 2010, be sure to minimize how much your dog can hear them. Having a radio or television on will muffle the sound of the celebrations. Make sure as the owner, you act as if nothing at all is wrong. If your dog shows any kind of distress, add some more background noise and IGNORE the dog's discomfort. If you fawn over your dog, petting her and telling her "It's OK," you will be rewarding the behavior and shining a spotlight on a problem. While it makes sense to comfort a frightened child, comforting a dog who is exhibiting stress will have unintended consequences.
If you have a dog that for whatever reason is noise or gun shy, GunDogSupply.com sells a two CD set called