Here is a proof which may not be the best but demonstrates some standard techniques:
Since has finite inj. dim. one can replace by a high syzygy, so one can assume has full depth. Thus one can kill a full regular sequence for both and and (as finiteness of proj. or inj. dim are not affected) assume is Artinian. Now, your last question shows that you already know in this case must be injective.
Map a free module onto and look at the exact sequence:
As is Gorenstein, also has fin. inj. dim., so injective. But then , hence the sequence splits, and 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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