Find the bait. Start by figuring out what your dog's favorite treat is: consider hotdog, cheese sticks, raw chicken, or especially made training treats you can buy at pet stores. This will increase motivation and will make your job easier.
Be consistent. If you allow unwanted behavior sometimes and not at other times, it will confuse your dog. If you NEVER allow a particular behavior, your dog will learn much faster.
Start easy. Begin your training with little distractions, and once your dog can reliably perform what you are trying to teach him/her, move to a different setting: a street, a parking lot, pet store, etc.
If you are trying to break a bad habit, understand why your dog is doing what she's doing. Is it because she doesn't get enough exercise and is bored? Is it because she is teething? Is it because she might be sick? Be sure to address the cause, not just the symptom.
If you are trying to teach a command, research clicker training: good behavior is marked with a click and a treat. I was skeptical when I first heard about it, but I am very happy that I gave it a chance. Our Rottweiler thrives on it.
Sign up for class. Even trainers who have dogs with titles in the world of obedience competitions sign their dogs up for classes. If you have a working breed pup (like I do), it's non negotiable.
If what you are doing is not working, ask a professional for help.