Separation anxiety is one of the most stressful behavior problems I deal with as a veterinarian for 2 reasons: 1) Since it's one of the most common reasons people give their pets over to the shelter, treatment failure often ends in euthanasia and 2) most people wait too long to bring the dog in to the office to alter the behavior patterns. Once the patterns have been imprinted, they can still be changed it just takes more time and effort to make the change. Many people give up because it can take a while for the changes to occur, or because the damage to the pet (or the house) just overwhelms them. It can be very trying on the whole family. As with most diseases, prevention is always better than treatment. My blog on punishment has a great behavior website and there are many books out there that can help with puppy training.
Some examples include:
How to Raise a Puppy You Can Live With by Clarice Rutherford and David H. Neil
The Art of Raising a Puppy by The Monks of New Skete
Good Dog, Bad Dog, New and Revised: Dog Training Made Easy by Mordecai Siegal and Matthew Margolis
Treatment is a whole other ballgame. As with any treatment, I recommend that you have your pet examined by your veterinarian. She can make sure there is not a medical problem that is causing the bad behaviors (for example, urinary tract infections that cause accidents in the house, dementia is old dogs, and behavior problems other than separation anxiety just to name a few).
Some of my favorite tricks include:
Giving the dog something to focus on just after you leave. Most of the destructive behavior occurs in the first 5-10 minutes after you leave. Giving the dog a toy (like a Kong toy, www.kong.com) can occupy the dog for the initial period after to leave and redirect the destructive behavior.
Training the dog to sit-stay before he gets anything. This is also known as the nothing is free method. The dog has to sit, stay and focus on you before he gets anything: food, treats, let outside, played with, etc. This teaches the dog how to act when he wants your attention.
Be low-key on departure and return. If the dog associates "play time" with your arrival or departure, it may increase the excite that causes some destructive behavior.
Drop the dog off at day care. Ok, this does not alter the behavior. However,it does save the curtains and keeps your dog safe while you work on the other problems.
None of these methods will cure every dog. You should have a plan that is individual to your dog's specific type of behavior problem. For that you need to talk to your veterinarian.