There are lots and lots of threads dealing with separation issues, do a search on separation anxiety in the behaviour forums.
Honestly, without more information on exactly what your dog is doing when you leave it is hard to make a lot of recommendations. Is it true anxiety (urinating, chewing furniture, ongoing barking) or separation stress, which is experienced by many dogs.
Basically, you need to teach your dog that staying at home by him/her self is not that bad - and usually you do that with food. Hide treats around the house, leave a stuffed kong or a treat dispenser. Something so your dog will be occupied while you are gone. If it's separation stress (as opposed to true anxiety), they only need to be kept occupied for the first 10min of you leaving. If it is separation anxiety it needs more work.
I also recommend a couple of books. Patricia McConnell's I'll be home soon - it's a short 'booklet' which is the mainstay for behaviourists. Nicole Wilde Don't leave me. Both of which will explain how to counter condition and desensitise.