Usually if puppies are not carefully socialized TO cats while young, such that they consider “cats” to be part of their extended family of dogs-humans- what have you, it can be very difficult, if not impossible, to cure a dog of cat-chasing.
Sure, any dog can be trained to stop chasing cats when a human is around to issue commands, but if the dog is expected to live in the same house with the cat, there will be times when there aren’t any people around to issue “LEAVE IT” or “DOWN” commands to the dog, and kitty may very well end up dead.
So if the dog seems very determined to go after the cat, with intense prey-drive, you may want to consider returning the dog.
If the dog just seems curious/playful rather than seriously prey-driven, you can try re-training.
Ecollars often work extremely well for this purpose. There are two ways to use an ecollar for chasing: one is aversion training, and one is negative reinforcement. In aversion training, you just put the collar on the dog, and when the dog goes after the cat you hit the dog with a high-level shock. Sometimes this works just fine, but sometimes you can have serious problems occur instead- keep in mind the dog hasn’t the slightest idea what just happened, all he knows is something horrible occurred. Most dogs don’t immediately connect their behavior or the cat with the shock and instead figure “the floor got them” or, if a person was standing next to them, “that man got me”, and now you have a dog who learned the wrong thing- some dogs won’t ever enter that room ever again; some dogs will become fear-aggressive; some dogs will act like they have post-traumatic stress disorder. So aversion training MAY work, but it is also quite likely to backfire horribly. It’s not a “safe” training technique.
Negative reinforcement training to stop chasing is, however, very safe and effective for any dog, even a very soft or nervous dog who would be expected to totally melt down if subjected to aversion training. Good description: http://www.loucastle.com/crittering
You could certainly use a vibration collar instead of shock to perform this training, but the crude citronella spray collars won’t work for this method, and will probably not be aversive enough to use in aversion training methods.
generally I prefer positive methods of training, but I frankly don’t know of any that work well for stopping cat-chasing in the absence of a human to give commands.