Here is a proof which may not be the best but demonstrates some standard techniques:
Since R has finite inj. dim. one can replace M by a high syzygy, so one can assume M has full depth. Thus one can kill a full regular sequence for both M and R and (as finiteness of proj. or inj. dim are not affected) assume R is Artinian. Now, your last question shows that you already know in this case M must be injective.
Map a free module onto M and look at the exact sequence:
0toNtoRntoMto0
As R is Gorenstein, N also has fin. inj. dim., so injective. But then textExt1R(M,N)=0, hence the sequence splits, and M must be free.
PS: The name is Bruns. You said in your profile that you are a graduate student interested in commutative algebra. If that is indeed the case, then perhaps taking a serious course and talking to the experts at your institution would be more effective then learning it on MO (-: Good luck!
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