She's focussed enough that she doesn't startle at the shot. But she is disappointed when it is just as ineffectual as her knives. She stayed still, still in a defensive stance but trying not to be in the way.

When he gestured she moved, out of his way, keeping alert for any other monsters that might try and sneak up at them. He fired and fired and fired and still it kept coming.

She's not frightened, that would be stupid. But she is suddenly aware that she is a very small girl with a dagger in a field of enemies that don't seem to be hurt by anything.

But then something he did worked, because it exploded and the monster was no more. She just looked at him with wide eyes, deciding to stick by him.