Earlier this year, Burns narrowly missed being hit by a knife thrown at her during a standoff with a barricaded man after three of her colleagues were hit with bear spray when entering an apartment.
Police say they have one suspect in custody.
The police urged people to stay inside and lock doors.
Henwood said people are sitting in their cars or just standing near the blockade of police and fire vehicles "hanging tight and waiting for word" on what comes next.
"There is a police officer standing outside with a gun", CTV Atlantic's Nick Moore said on CTV's "Your Morning".
"He loved being a police officer and he lived for being a police officer", she said.
Several victims were being treated at a regional hospital, but there were no immediate details on the nature of their injuries or their conditions.
The force said on its Twitter feed that the "incident is ongoing", and confirmed at least four people have died.
Brookside Dr is a residential road in the north end of Fredericton.
"It's not something that we expect in Fredericton to wake up and hear about", Henwood said. The two civilians killed, a man and a woman, were not identified. "It was like they were right in my parking lot".
McLean said she didn't know yet when a funeral might be held but she knew what Costello would want.
"My adrenalin was going like a bat out of hell".
"I didn't know if it was firecrackers or a auto going off or something", he said. "We will provide more info when we can", the force tweeted. AT today to the sound of gunshots "10 metres from my bed".
Marlene Dougherty, another local resident, said she was "anxious" and too scared to even look at her window.
"Our hearts are broken by the murder of our two courageous police officers". In this time of shock and grief, let us all protect their families.
"I might've been a gunshot", he said.
She said Costello, 45, had left their home at 6 a.m. Friday for an early shift.
Darren Hill, an owner of a business located a block from the scene, said a profound sense of sadness has descended on Fredericton. "I slept through it".
Scott Hill, a local business owner, said he was told that the shooting happened in an apartment complex near his business.
"I saw Robb always go out of his way to make sure people felt included and no one was made to feel badly".
"I'll be staying here".
He said he could still hear sporadic gunfire coming from the apartment complex two hours later, when he was at the office of his property development agency. "I was hoping for the two seconds that I was groggy that it was kids blowing off firecrackers".
He heard similar sounds about five minutes later, near his home, he said.
David MacCoubrey, who lives in Fredericton, said he heard about 20 shots in total.
Police in Fredericton, a city of about 56,000 that is the capital of the province of New Brunswick, said there had been multiple fatalities.
"During this hard time, our thoughts are also with the courageous women and men on the front lines working to keep us safe", said Gallant.
The Tim Hortons outlet on Douglas Avenue and a nearby GoodLife Fitness gym were locked down after the shootings. "They aren't letting customers in at the moment".
Due to the volume of calls, police have advised residents not to call the police station directly.
A series of tweets from Fredericton police after 8 a.m. helped Magnussen to fill in some of the blanks.
The investigation has been turned over to the RCMP.