Well its hunting season down by my house(duck hunting season I think) and since I live right across from a harbour we can hear the gunshots pretty loudly when someone's down there is shooting, now here is the problem rex(my dog) seems to be scared to death of them, when he hears a gunshot he will run to wherever I am and just sit down at my side. Is there anyway I can help him to overcome this fear?

Okay I am really starting to get confused, I always thought rex would run to my side because he was scared of the gunshots. But now I'm not so sure. Right now as I speak I can hear the gunshots and rex is sitting in front of me with his ears up as if he was alert, yet every time I move he moves to so he can be at my side, but I don't see a hint of fear in his expression he only looks alert(since his ears are up) could he still be scared and alert?

Perhaps he's worried about YOU. He may just be trying to protect you from whatever monster is making those scary sounds.