It's a while since I've used that CD, but I thought the idea was to have it on so low that your dog didn't react. I don't think the idea is for the dog to try to avoid the noise by leaving. I do agree with Rachael, it's time to see a vet, get some help, and a referral to a behaviourist - if you can find a good one. I think you are not too far from me in London? I have a recommended behaviourist, which I haven't used myself yet (but I will try this guy if I have need of a behaviourist again) and he seems amazingly well qualified, with decades of experience working for high profile organisations. Let me know if you want me to PM his name to you.
Mabel went through a really nervous stage, frightened of almost everything even her own shadow. It became a bit worrying if I'm honest. Her hydrotherapist recommended Cerato which is a flower and is used for people who lack faith in their judgement. Used in the same way as rescue remedy. I was also recommended Placid (canine, not horse strength ) which is a herbal blend for the nutritional maintenance of the nervous system. I used them both for about 6 months. I'm not convinced they worked. I don't use them at all and she is greatly improved, which is down to her maturing, improved health on my part enabling me to manage the situation.