go to a teacher would be the answer that is probably most effective however...
i started by getting tabs of lead guitar and just playing them note by note listening to the original. it's hard and long work but it worth it.
after i know the lead i start improvising on it at the beginning it sounds aweful but after a time i get it.
it's all just a matter of practice
keep cool and try not to damage your guitar too much when you throw it to the wall with frustration :)