A lucid dream is a dream in which you are aware that you are dreaming.
How can you realize that you are dreaming while you are dreaming?
Short speaking there are two ways: Either you recognize the dream during the dream (DILD) or you consciously fall asleep (WILD).
The DILD technique/ critical awareness technique
Why don't you usually ask yourself during a dream if this might be a dream?
Because in dreams you do things you usually do when you are awake. And that's the key in this technique:
During your waking day you start asking yourself if you are dreaming or not.
How did you get here? Do you have any gaps in your memory? Is there anything really strange, maybe out of context?
Additionally you may do a reality check: You check if you are in waking reality or in a dream. In waking reality you have 5 fingers and you are not able to breath if you shut your nose with your hand.
When you are dreaming you mostly have either more or less than 5 fingers or you miscount often and mostly you are able to breathe through a shut nose.
After a period of adaption or familiarization checking the reality becomes a habit, even in your dreams.
If you have your first lucid dream: have fun and rub your hands to prolong it.
You also may enter the dream consciously which is the second possibility.
The technique of WILD (waking induced lucid dream) is often combined with the WBTB technique: Wake up and go Back To Bed.
After sleeping for about 4 to 6 hours you get up for a period of 15 to 90 minutes and afterwards you go back to bed for another 2 to 4 hours.
You have to try and experiment to get the parameters which work for you.
How often you try the WILD is up to you and your daily schedule: If you have time enough you may start an attempt to WILD every day or every other day. If you have less time it's perfectly ok to do it once or twice a week at the weekends.
Nevertheless: After your waking period you lie down and relax. You focus on your body and your mind.
Now your body starts falling asleep and your brain also. You may get funny sensations. For example you may feel a rocking or turning motion in your bed or you may see hypnagogic imagery like dancing fireflies in front of your closed eyes.
Just relax and perceive this. Do not try to influence this, just enjoy.
Your hypnagogic imagery may become more and more intense to geometric figures, pictures and finally whole movie scenes.
That's the time you may slowly start acting in your dream.
Good Luck! I wish you many lucid dreams!
Exploring the world of lucid dreaming
Very good book by Dr. Stephen LaBerge, a pioneer in lucid dreaming
Conversation between Paul Tholey and Stephen LaBerge
Interesting discussion, gives further information.