I always took the pup to the range with me and left him/her in the truck at a distance, then walk them towards the firing line while distracting them with a bumper they're keen about. I've never had a gun shy retriever.
I trained my girlfriend's lab to retrieve in her living room, then the back yard and worked on 'come' off lead. She was never exposed to a gun until I took her along to the blind. She didn't even react to the first shot. I teased her with the down bird and she was game on after that. I shot over her the rest of the day and she completed every retrieve. I credit her breeding and not much of anything I did. Not talking steady or marking doubles, or ready for a field trial, but in one trip she was on par with many of the average dogs I've seen, and I'm talking about a 5 year old dog that's never been afield or worked with.
For some reason, fireworks can be a very different matter for the same dogs. I have no idea why, perhaps because of the piccolos (or whatever they're called) that whistle. For that reason, without explanation, I would avoid them.
Or, you can take him/her out and shoot popper loads. Leave them somewhere safe like their kennel in the truck and start at a distance. Then, work your way closer. Take some breaks to play with them so the whole experience feels like a good one, and stay tuned as to how they feel about this.
Honestly, most all gun dogs with decent, modern breeding will never have a problem with gun shyness; it just doesn't seem to be in them. One gentle introduction should be all you need for a happy hunter. It's never been an issue with any of my labs or chessies, or with any of the spaniels, shorthairs, or Gordon setters, or even beagles of friends. I was 'captain of the guns' in a retriever club and shot over many, many first timers. Any initial apprehension was almost always lost to the glee of splashing through the water after a wing.
And I can't speak to a tape as a substitute. Minus the percussion and sharpness of real shooting, it doesn't seem like it would be worthwhile.
Now, dogs not the right breed or not bred right are another story. For even these little particulars, genetics are huge. Some of the show versions of these breeds are drop dead worthless and gun shyness won't be their only problem. I have a border collie that would flat our race home on the sound of a shot from anywhere in the neighborhood, without ever having a bad experience. But he's sensitive to all noise and would probably make a great dog for the hearing impaired. Half way through the first ring of the phone, he's on his feet and straight to it, without any training for that. If only I could train him to answer it and quit trying to herd cats.
Because I shoot often, I even prepared him properly. But at the sound of any crack - goodbye. The day before yesterday was the first time he decided he could tolerate some of it, and chose to hang out with me, albeit 20 feet back. It's taken two and a half years for him to get to this point. Great farm dog - lousy shootin' pal. If guns moved he would herd them. But if a calf went 'POW!' the calf would win. Same nurture – different outcome. That’s genetics.
Sorry for the length and good luck with your pup!