We just use the normal clumping kitty litter, he never liked the dog pellet litter. He played in it at first, but took to it rather quickly. We have three litter boxes, one for each floor of the house, they all have the same little litter-catch mats that cats use to keep the litter from scattering. We bought the largest dog litter box they make, which allows him to hike his leg on the wall
. We had to keep him confined to one area of the house initially. We chose the kitchen and just used baby gates to keep him inside the kitchen area. When we came home in the evening we would allow him free reign of the house (but he always stayed by us). If he made a mistake we'd confine him back to the kitchen area. By about 6-7 months old, he had it down pretty good. He hates the litter box to be messy though. We clean out the morning 'hockey pucs and poo' (so easy with clumping kind) and he is fine until we come home after work. Then we scoop out whatever he has done during the day and then he's fine until the morning routine again. But I think keeping it clean is probably the most important thing to encouraging him to use it. It took us a bit to figure that part out, but once we did, he'd use it all the time. I love never having to get up early to let him out or freeze my butt off in the winter
Good luck to everyone with your training.