It's not something you can just pick up in one night, it takes weeks of practice.
Here is a website dedicated to teaching people how to lucid dream: http://www.lucidipedia.com/
My tips:
Every morning, write down any dreams you remember having. If you don't remember them, then lucid dreaming is rather pointless.
The earlier you go to sleep, the more time you have for REM sleep (dreaming stage).
Check lucipedia's forums to see what methods work for others: http://www.lucidipedia.com/forum.php?section=viewforum&f=6