First piece of advice I would have for teaching tricks like this would be get a training clicker. You can get them online or at Petsmart. It is a small device you hold in your hand with a button that makes a clicking noise. When you get it, just click it and give your pup a treat right after you click. Much like Pavlov's dogs and the bell, eventually the click becomes the reward, and this allows you to instantly tell the dog when he/she has done what you want them to do. This instant confirmation is invaluable in teaching more complex tricks. You simply break the trick down into parts and using the clicker (mixed with treats every so often) to tell the pup when she's done what you want. As she gets the hang of a part of the trick, make her do the next step before you click/praise/treat. Once you get the clicker conditioning down with your dog, the complexity of tricks is just a matter of your dogs intelligence and your patience to work through the steps.
As far as shooting the dog, I started with her laying down. I would grab her and roll her on her side while saying "bang" and click/reward once she was on her side. After about 2 sessions of this, I didn't have to grab her anymore, so I would tell her down, point my finger and "bang", and reward when she rolled on her side. Once she had this mastered, I skipped "down" command and went straight to the gun and "bang". She quickly learned to fall over and lay on her side. All in all, it took about three or four 10 minute sessions for her to get it down. Sorry for writing a book here, but just build on baby steps, and you'll have your pup doing a neat trick that is a real crowd pleaser.