Like potty training, dog training is something you will have to be consistent with, and starts immediately as soon as your dog begins interacting with you. Training begins from day zero.
Correct training can only be accomplished if you master the fundamental training methods that will allow you to correct and redirect your dog appropriately.
Training begins from day zero, or day one if you prefer. If you have an adult dog to train, don't worry, they are very trainable. People tend to think that only puppies can be trained, but this is wrong because puppies only differ from adult dogs in their lack of previous training.
Keep your initial training sessions simple, don't use any tools like leashes or collars to enforce your dog's training. In the beggining he should associate training to you and not any tool you might use.