What does the clicker do?
A clicker is simply an event marker (also called a bridge). The trainer uses classical conditioning (think Pavlov's dog experiment) to associate the click with a reward. The click can then be used to mark the exact moment a desirable behavior occurs, bridging the gap between behavior and reward. This is where operant conditioning steps in. The animal becomes the "operator", learning that their actions affect whether or not they will get a click, and therefor a reward.
Why does the clicker work?
Precision and timing are essential in dog training, and the clicker is the ultimate aid if used correctly. With clicker training, you can teach complex behaviors by marking small movements in the right direction. Using a clicker also bypasses the more complex parts of the dogs brain that are necessary to interpret our voice. Also, unlike the voice, a clicker always sounds the same. Dogs are able to pick up even the slightest inflections in our voice, be it frustration, fear, or fatigue, which can affect their willingness to learn.
How do I use the clicker?
First you need to charge the clicker. It is easiest to begin with the clicker in one hand and treats in the other (or in a treat pouch or pocket). Click, wait half a second, then hand the dog a treat. If you give the treat at the same time you click, the dog only learns that your hand coming toward them predicts the treat, not the click. After 10 or so repetitions the dog should become visibly excited at the sound of the click. If they do not alert to the click, the treats may not be reinforcing enough, try real meat or cheese! Once the dog understands the clicker, you can begin clicking when they offer desirable behaviors.
If you have a box clicker, you may want to mute it with a piece of poster tack or tape before using it. They tend to be pretty loud and you don't want to startle your dog.
If you don't have a clicker you can use the lid off a drink bottle that has the "pops up when open" top, or a clicky pen (if it's loud enough to hear clearly), or anything else that makes a short distinct sound.
You can find clickers in almost all pet stores, or order them online.
Use treats that are small and can be eaten quickly. Ideal training sessions, especially when learning new behaviors, should have a rapid rate of reinforcement. If the treats are too big they slow down learning, and the dog will become full after only a few repetitions.
Remember to take the treats out of their daily food rations so as not to over-feed.