While you are desensitizing the dog, try and avoid being around gun shots. If this is unavoidable, then be sure not to comfort the dog, as they will read this as validating their fear. Instead, act nonchalant and do some basic training exercises to show you are in control. In the meantime, download a sound effects CD that has gun shots in it. Play this extremely quietly at home, at a level low enough that the dog doesn't react. Tweak the volume up one notch and reward the dog if it is calm. Every few days, increase the volume one notch so as to very gradually get the dog used to the sounds of gun fire.