Dogs are like infants. Put them to bed, let them cry, and they'll eventually realize they aren't getting their way and then stop. The more you feed into it, the more he realizes that whining/crying gets him his way. Don't let him get his way.
I advise against pee-pads whole heartedly. Crate train him. Now. Make sure the crate is only big enough for him to turn around in - dogs won't use the bathroom in a space they have to lay in, which teaches him to hold it until he's let outside. If the crate is too big, he'll just pee in a corner and be okay with it. Not what you want.
If you SEE him peeing, IMMEDIATELY pick him up, mid pee, and bring him outside. He will automatically stop when picked up and resume outside, in which you reward him when he's done. If he doesn't like treats, try cheese or peanut butter or carrots.
Because he's not potty trained and still has the bladder of a puppy (and is a small dog), he needs to be treated like a puppy. Bring him outside EVERY two hours - when he does his business, reward him.
Potty training a DOG isn't easy. You have to be there every minute and every second of the day to watch him and catch him before he goes. You need the time.
As someone else mentioned, leave him alone for a small amount of time and slowly increase the amount each day or week. That might help with the anxiety.
Last edited by Wolfie305; 05-16-2012 at 10:04 PM.