[F]how do I make my dog to not be scared?

If your dog gets scared just keep petting and stroking him or her and keep saying good girl you're a good dog its OK good girl and so on and so forth

Apparently, other dogs are more reassuring than most owners.
Help for Thunder-Phobic Dogs -- Veterinarians Show Consoling Dogs Does Not Relieve Their Panic (http://www.sciencedaily.com/videos/2006/0601-help_for_thunderphobic_dogs.htm)