Instead of rewriting all this, I just cut and pasted information I posted from an early post about noise phobias.

Noise phobias (intense fear reactions to sound) are hard to determine why they occur. Especially in a older dog that did not display this tendency earlier. My guess is that some loud noise (car backfiring, close gun shot, sonic boom, or even really loud thunder when nobody was around) happened to startle and set off the plunge into noise phobia.

Desensitization is a proven treatment for noise sensitivity. Expose your dog to the sinister sound (or a simulation of it) at low enough volume so the dog shows no sign of apprehension. As long as the dog remains calm, reinforce the behavior with treats or toys so the dog associates the once dreaded noise with agreeable experiences (counter conditioning). If your dog tolerates the low volume exposure, continue to expose it to louder and louder versions of the sound and also continue rewarding calm behavior. Proceed to higer volumes very gradually and only after the dog shows no anxiety at the lower intensity. Continue until the dog tolerates the sound full blast without becoming ruffled.

Prior to the first desensitization session, make sure the simulated noise (a recording for example) delivered at full volume, sparks your dog's fear reaction. And because thunderstorms involve sensory ingredients other than thunder - such as the sound of wind and the flash of lightning, you may need to simulate multiple environmental conditions to completely desensitize your dog. Thunderstorms involve a variety of stimuli, so you may have to desensitize your storm phobic dog to flashes of light in addition to the sounds of thunder, wind, and rain.

This process is very time consuming and may require several months of 10 to 20 minute sessions at least 3 times a week in order to properly desensitize your dog. During the desensitazation period try to shield your dog from the real noise causing the phobia. You can experience set backs and have to start the whole process over again if the noise is experienced before desensitazation is complete. Pick a time such as winter when the threat of thunderstorms is unlikely.

Finally it is important to handle the noise phobia in a Leader role. Avoid coddling a dog that's anxious about noises. Leadership is much better than sympathy in these cases. During the noise that invokes the phobia, turn the dogs attention towards play or do some obedience exercises. It is important to expose your dog to many different noises and reward with treats to help the dog associate noise with pleasure rather than fear!

Have lots of patience and don't expect the problem to be gone overnight! This is a hard problem to overcome but you can do it!