Yes. State law, and common sense, dictates that vehicles yield to emergency vehicles that are operating their emergency lights and siren. Emergency vehicle drivers are taught to pass on the left whenever possible when responding in an emergency mode. When safe, slow down, pull over to the right, and stop.
However, there are circumstances where that may not be possible (if your car is already stopped, and you don't have anywhere to pull over). Simply stay put until the emergency vehicle goes around you. Never slam on the brakes and stop in the middle of the road when you see apparatus approaching.
If an emergency vehicle is approaching from the opposite direction, you should pull over and stop.