The best thing you can do is to tell her it's all right and walk with her. She should learn eventually that it won't hurt her. Of course, if it's anything like the wind we've had all day, it would be a bit frightening to any yorkie! It's been gusting to over 40 mph here all day. At times, mine would be a bit nervous, but at other times, she'd go out and sit down with me.
