Always remember that you are dealing with a very immature young animal. Be realistic, flexible, patient and always fair during puppy training sessions. Your puppy doesn't just automatically know this stuff! It's all new to him and he is bound to have the odd slip up and mistake along the way. Don't worry about these mistakes, just move on and do your best to prevent them in the future.
The first method is called capturing. Stand in front of your puppy holding some of his dog food or treats. Wait for him to sit – say “yes” and give him a treat. Then step backwards or sideways to encourage him to stand and wait for him to sit. Give another treat as soon as they sit. After a few repetitions, you can begin saying “sit” right as he begins to sit.
Imagine your puppy running out the front door. You call him, waving a treat. But he'd rather chase a squirrel into the road than come back to munch on a treat. In addition to the obvious danger of Puppy getting hit by a car, he learns that he doesn't have to listen to you. He learns that he's in charge of what he decides to do and what he decides not to do.