It may not be so much important how it came about as to what needs to be done. There are various ways from behavior modification to homeopathy. Here is a website that may have a good start for you.
http://dogtime.com/noise-anxiety-dogs.html
Also, you could try Bach Flower Remedies or the English Healing Herbs found here:
http://www.fesflowers.com/healing_herbs.htm
Aspen, Mimulus or even Rock Rose (or can be combined) are a good start and a few drops can be safely added to their drinking water. Change the water every other day (or every day if you already do that) and add a few more drops again.
Healing Herbs also has a Five Flower Formula and Bach has a Rescue Remedy but these do not target the fear itself, rather diminish the symptoms afterward of experiencing the fear.
Also, the site for the Dog Whisperer (Cesar Millan) may offer additional resources and tips for you.
best wishes