The first step in clicker training is introducing the clicker, sometimes called "loading the clicker". This is my favorite part! So much fun for us and for the dog.
The first thing is teaching the dog that click means treat. Always. Every time. Without fail. Any time he hears that goofy noise, he gets something yummy! {Rule #1: A TREAT ALWAYS FOLLOWS THE CLICK! Even if you clicked accidentally}.
Take your pup to a quiet place with few distractions, like maybe the kitchen (with no other dogs around). Let pup see that you have a yummy treat in your hand. As you are reaching to give it to him, click with the other hand. That's it. Click then give him a treat. Repeat many times, not always doing it the same way. Regardless of what he's doing (as long as he's not doing something obnoxious!), just click and treat. Vary your body position and vary the click so that he's not always doing the same thing when he hears the click. When he starts looking for his treat as soon as you've clicked, you know you are doing it right!
Keep going. Practice with your back turned to him. Practice when he's further away from you. Leave the treats on the counter and walk to the other side of the room. Click then go get his treat. He needs to learn that treat always follow click BUT there may be a small delay between the 2.
When he stops what he's doing to come running for the treat when he hears the clicker, you have successfully completed step 1!!!
Wasn't that fun???? 
Here are a couple of links to articles about this first step:
http://www.clickerlessons.com/clicker.html http://dogdigs.kaylar.com/clickertrain.htm