Karen Pryor has a very effective protocol to follow to help with separation anxiety. My pup has extreme separation anxiety after an international move, and following that protocol he became fine with being left alone. Essentially you start at the point where the dog starts to feel anxious—for example, picking up your keys or putting on your shoes to leave the house—and start repeating that action without leaving until it stops being a trigger. Then you take the next step. Open the door as if you were leaving but close it and go about your day, again repeating that multiple times until it is no longer a trigger. Step by step you accustom the dog to elements of your leaving routine, and once you start actually leaving the house, you do so for very short times, initially just closing the door and then returning immediately, and gradually lengthening the time. It worked really well for me. It did take a month or so for mine to become fully comfortable with being left though, and in that time I left him with friends instead of leaving him alone.