first i guess you probably have to start remembering every dream you have during the night....
I accomplished that by writing dreams down. Have a pen and paper prepared so the first thing you do after waking up is write stuff down. At first it will be very disjointed, lots of holes, blanks, probably wouldn't make any sense unless you had a powerful dream.
just write everything down. every possible detail. after few nights, you should be able to write down a coherent dream and even a couple per one wake up phase.
(not recommended for sex dreams cause if found it might get you in trouble..)
Only if you remember your dreams each night with great detail, only then you can train yourself to manipulate them. Self-hypnosis is good i guess. No idea how to approach that.
What you can do is have right attitude before sleeping. You need to go to sleep relax, thinking about trying control the dream, thinking about having the dream itself.
it will happen that you realize at one point its only a dream and 'gain' ability to affect it.
First time is the hardest.

Whoa, whoa hey now! Don't blame me if it doesn't.
It even says on the packaging: "This product is made, to the best of our ability, to resemble cheese. While appreciate that it may still fall wide of any technical definition of cheese laid down by the Food Standards Agency, we hope you enjoy this vaguely cheese-like synthetic product and that its consumption doesn't result in any long term medical conditions."

whats wrong with wanting to control your dreams?

I'm not blaming you. The cheese actually did increase my dream vividness. If I can just train my brain to do reality checks, I should be able to lucid dream.

I know of someone who has similar experiences. They say they dream of bad things happening, but in reality the situation is usually positive or neutral. It's not that far fetched, Cheese.
Just depends on a person's outlook and whether they believe that some humans use more than 10% of their brains.

I was told, years ago, that if I wanted to remember a dream or be actively in a dream . . . I should force myself to look down at my hands if I thought I was dreaming. Having looked at my upturned hands supposedly I could control the dream to a degree.
I managed to do just that a couple of times over the years but . . . once I saw my hands, I woke up immediately but . . . I did remember the dream.
I don't think it has anything to do with the hands rather just making yourself do something while dreaming apparently brings your conscious mind into play.

All humans use more than 10% of their brains, all the time.
In fact the real number is probably 90% and then some.

I'm going to give you rep for your spirit, but I doubt that most people use 90% of their brains. We will have to agree to disagree, but if people actually used their brains we wouldn't have nearly as high a crime rate as we do.
EDIT: I see you're from Norway. You must understand that the crime in the US is very high, especially in metro areas. In your country perhaps people use more of their brains, in which case you're lucky.
Anyway back on topic: lucid dreams can be fun, but I like letting my subconscious have control, it usually has lessons to teach me.

I've always maintained that part of the fun is interacting with your subconscious.

Agreed, Phoenix.

There are two sorts of lucid dreams. Actor and director. Being able to lucid dream doesn't really interfere with it. But that's just what I think.

I found this website when doing research on this and dream sharing for a comic book character I was cooking up (just a hobby, nothing pro), The lucid dreaming parts sound somewhat realistic, but the dream sharing stuff I've found onlibe sounds pretty hokey and I don't think it's really possible.
http://www.lucidity.com/
http://www.lucidity.com/NL63.RU.Naps.html <-- This one sort of gives you tips.
I haven't tested any of this, since I just wanted the info to make the character more believable, not to try it myself. I've had a total of two lucid dreams in my life (and the second one I had no real control over) and both happened without me trying.
Some websites on the subject actually sound serious and sort of scientific about it but others will seem new agey. Up to you what to believe in or try out.

Seconded, but mine are like a Pixar film. Every dream has something from a previous dream in it. So far an old lady with an axe has been in all of them.

I'd LOVE to have lucid dreams. With Jessica Alba.
*drools*
But I'm way too lazy to actually do all the work required to lucidly dream. As it is, my dreams usually stink.

wink wink, nudge nudge, say no more (Monty Python joke). My dreams don't suck, they're just weird as hell, as my post above will tell you. They have great potential, which is why I want to control them.