You'll need a few things before you get started - First, you'll need a ball, frisbee, or any toy that your dog loves. You're also going to need some treats and a long leash.
The first step is to entice your dog to go after the object you're throwing. Some dogs will naturally chase things, but some won't! If your dog isn't initially interested, encourage your dog to pick up a toy or ball and reward them when they do. They will quickly learn that when they go after the toy, they'll get more treats!
Once your dog has gotten the hang of fetch, it's time to teach them to bring it back to you. A great way to teach them this is to call them back after they've retrieved the ball and ask them to drop it, followed by a reward. You can also encourage them to drop the toy in their mouth by introducing a new toy that they'll want to grab instead.
Some dogs may not want to come back to you with the ball right away - this is where the long leash comes in! Hook the leash onto you dog's collar or harness and toss the ball. When they get the ball, call them back to you - if they don't come back right away, lead them towards you with a gentle tug on the leash and reward them when they return to you. Keep practicing this until your dog gets the hang of retrieving the toy and bringing it back to you to throw again!
They key here is repetition and short training sessions to prevent boredom or frustration. Over time, you can phase out treats as the game of fetch will become a reward itself!