Our puppy used to whine when we left the room, still does a little as he is young but has got a lot better. I agree that the less fuss the better, leave the room without setting the puppy up for you leaving, try controlled timing, leave for five minutes, then increase to ten, before you can leave for longer. When you return praise the dog but try not to make a big fuss a pat on the head and 'good boy/girl' will suffice. Then carry on as normal otherwise the dog will start making a huge fuss at the slightest departure.

As the dog begins to calm down it is recommended that you ignore the dog for ten minutes before departure and ten minutes after your return, that way the dog becomes to accept your coming and going as normal activity.

Hope this helps