As emergency vehicles are on potentially life saving calls they can break certain rules of the highway code, such as running red lights and using operational bus lanes. HOWEVER, emergency vehicle drivers are highly trained and experienced so will not compromise safety over getting to a call quickly, after all they do not want to cause an accident on the way meaning there are two accidents to deal with rather than just the one.
The best bit of advice when dealing with emergency vehicles is to stay calm and spot them early (by constantly having good awarness of what is around you when driving, including mirrors), this will then buy you the time to work out what is the best thing to do, which may not always be to stop, sometimes it may be better to keep moving, such as when approching a blind bend as the emergency vehicle will not overtake you on a blind bend.
This video explains more: Blue Light Aware Video
This video shows a 'run' of an emergency vehicle, you may find it quite useful to see it from an emergency drivers point of view and how they react and deal with other drivers. Also take note how they use their sirens, they are not always on, from what I understand they only put them on when they want someone to move out of the way, they normally turn them off when they don't want someone to move (for example on a blind bend) so not to intimidate the driver in front.