The key to training your bird is to keep your lessons short so they remain a positive experience for both you and your bird. Cue and reward your bird quickly and consistently. Teach complicated tricks in small steps. Take advantage of your bird's natural behaviors. Cue and reward him until he does it on command.
Finally, BE PATIENT. Sometimes you have to take two steps back to make one step forward.
For more information, see The Trick to Training Your Bird