I'm assuming he's afraid of the actual shot itself rather than the physical appearance of the gun?
My dog isn't afraid of the shot, just the actual gun or anything that looks like a club, so if what I'm about to write isn't applicable then just ignore me!
I started by just walking around the house holding broomsticks or my rifle, or just sat watching TV holding the gun so he'd see there's nothing threatening about it. He wouldn't come near me for awhile. When he was a little more comfortable I'd start gently playing with him while holding a gun, and eventually led up to poking him with it while playing. He's still uncomfortable with it, but we've made a lot of progress.