I wanted to enter a short story competition a while back and set about trying to write one. Normally I wrote novels and reviews so this concept was entirely new to me. But I asked around and found a great site that helped me immensely.
Basically it talks you through the elements of a short story, what not to do, how to engage your reader from the start and how to finish with a satisfying ending.
Take a look and I really hope it helps.