Here's a suggestion for training your dog to avoid gun shyness. Go out to some local shotgun club and park a couple of 100 yards from the shooting. Take the dog out, leashed, of course, and while playing with him, etc. slowly walk towards the shooting. It is really better if they are shooting as you get him out of his kennel, so he won't be surprised. If the pup shows the slightest hesitation, stop, and play with him there. If he still seems hesitant, DO NOT proceed, just walk him back to the car and take him home. That one will take more work. Most dogs in my experience, when they realize nothing is going to happen to them, will happily sit on the shooting line with their owners in short order. It is bad, very bad, form to allow the dog to poop on the ranges and if it happens, be prepared to clean it up.

PS the .410 is an expert's gun, and is adequate for pen raised birds or doves IF the user is up to the considerable challenge of shooting one well. My advice, if you've got a 12 or a 20, use low velocity, low shot wt. shells (reloads are excellent for this) instead.