Watch and study great films. Pay attention to the techniques used. Think about what makes them so great. If you're unsure of what films to watch, consult the most popular films on IMDB or look at films that have been nominated or won the Oscar for Best Picture.
Learn what makes up a good story for a film. Every film has conflict. Every film has interesting characters who must overcome this conflict. Every film has a protagonist, someone who is trying to overcome the conflict, as well as an antagonist, someone or something that is stopping the protagonist from overcoming this conflict. There are many books written on the subject of screenwriting and story. Consider reading some to learn more about story structure for films.
Learn production skills. Being a filmmaker is more than just turning on a camera and shouting "action." Learn camera techniques and how shots are made.
Learn lighting techniques. Lighting sets a mood. Good lighting will make a film more visually appealing. That doesn't mean everything has to be bright, but rather, the lighting should visually help set the tone of the film and scene.
Learn acting. A filmmaker needs to understand what makes for good acting. While the filmmaker doesn't have to be an expert actor, it helps to understand acting techniques and what can make for a compelling performance.
Develop good people skills for working with actors and crew members. Good films require great acting and great crews. Learn how to work well with other people to deliver the project you're envisioning.
Handle pressure well. Making a film can be stressful. Things often don't go as planned. Learn to handle pressure and continue to be a good leader.
Keep working at it. Great filmmakers often make a lot of weak or average films before making a great film. You just have to keep practicing, learning from your mistakes and acquiring more skills.