Most likely, start a dream journal. Then you will want to choose a method to try.

DILD
WILD

WILD is going from waking to dreaming and keeping your consciousness. It is harder for beginners most of the time.

DILD is when you realise it's a dream once it has started. It is more popular and used more. Easier for beginners but not as high a reward.

The tutorials section of this site have lots of invaluable information. Feel free to come on IRC.