First you need to learn to focus your mind, you take a bright object (a firelighter works great) and you stare into the flame. Then you slowly and carefully shut down your brain and just focus on the bright light. If a tought pops up the most important thing to remember is to let it go and focus away from it, if you get mad or focusing on not focusing on it that's one more tought that popped up.

Then once you get the hang of that you can start doing more interesting things. My favourite was to attempt super-position and out of body experiences. Basically you sit in a comfortable position and focus on a memory of a place, or a made-up place. You slowly build up the image of your surroundings, starting with what's immediately before your eyes and then going from there. Once you're proficient in building a visual representation of fake surroundings you start with sounds, smells and tastes. When you get that down you can start fooling your kinestatic sense, which means you have to feel your arms/legs/body in a different position than it actually is.

Once you've done that, voila, you've just achieved lucid REM at will.

If you talk to a spirituality guru they will tell you it's an astral plane, or out of body experience. But really it's just lucid REM :)

I never managed to quite completely detach myself from reality, I got into the super-position state where I could feel myself being in two places at once ... sort of everywhere.

The main thing you have to remember when doing any of these experiments is that your mind is the only thing in the world fully under your control. It cannot do something you don't let it do.