The most important thing, I think, is not to expect him/her to be afraid. Some animals aren't, but if you are on tenterhooks, waiting for it, then that's going to spook him/her before they even begin. Have the telly on so that the noise isn't too much like a bolt out of the blue, and when they go off, even if your puppy goes into a panic, try not to react to them yourselves. That way hopefully he'she will see that because you're not afraid or angry then there's nothing wrong.