I don't think that anyone should answer your question by doing your work for you, but it's completely fair, I think, for us to help you understand how you might approach the assignment.
I recommend that you begin by drafting the body of your answer. That part of the answer should come in three sections, with each section focusing on one of the three learning theories that is named. I understand the "place in the case study" to mean that you should draw specific details from the case study that you are given to support your answers.
For the section on classical conditioning theory, for example, focus on the pairing of the sirens with a sudden, traumatizing event (note how the event is described using threatening imagery) and on the subsequent postive reinforcement (the giving of a lollipop) that the parent has been giving to the child in response to repetitions of the conditioned behavior. In other words, the parent may actually be conditioning her child to cry by giving candy when the child cries. To address the problem, perhaps the reward should be given for not crying (rather than for crying), and that reward should become less consistent or less predictable after a while (sometimes a lollipop, sometimes praise), in keeping with the idea of intermittant reinforcement.
For the operant conditioning section, perhaps focus on how Natasha has learned something on her own, such as the following: Sirens may be followed immediately by traumatizing events, firefighters are scary, and the parent is my only place to seek safety and comfort. There must be more to say here, of course. You may also want to focus on what the parent has "learned" something, too. To address the problem, perhaps both the parent and the child need to learn something new. Would a trip to the fire station help the child?
I'm not familiar enough with cognitive theory to be able to explain it in a way that is distinctive.
I hope that these comments get you started.