My advice would be to follow Hoss's suggestion. Go back to the cap/starter pistol and use it a far distance while the pup is feeding, fetching ect. Gradually move closer a little bit at a time as long as the dog is comfortable. Stop when the dog shows signs of apprehension and back off a pace or two. A little bit at a time will work wonders.
Personally, I find shorthair's method to be barbaric! I do not consider giving the dog the option between terror of a gunshot and drowning to be "training"... I consider it more a form of animal cruelty. Shooting a shotgun near a dog that is obviously frightened of it so it tires itself out despretly trying to get away? Would you want someone to throw you in a lake if you had a fear of water until you were so exhausted that you "got over it"? I think not. This training method, and others like it (shooting a dog in the rear if it ranges too far, beating a dog with a whip until it submits, ect) should have gone out of style with the rack, the iron maiden, and other instruments of torture from the middle ages. Please don't try it. Your dog deserves better.