Look for an ornamentation guide in the back of your music book. If your music is an urtext, which is a special type of sheet music based on the original manuscript, there may be a guide to the trills and ornamentation. These are important because Baroque trills vary from country to country.
Find out whether you will need to play a sharp or flat in the trill. Many trills and ornaments have sharps or flats written over them in the score when necessary, but sometimes the composer expects performers to play certain sharps or flats without notation, especially in a minor key.
Play grace notes, which are often notated as miniature notes before the main note, as quickly as possible. In general, Baroque grace notes are played on the beat rather than before it.
Play turns, which are notated by a symbol like a sideways "S," starting on the note above the primary note. A turn is a type of trill that winds about the main note, in a flourish that involves playing the notes above and below and ending on the main note. If the turn is on a longer note, play the turn at the end of the beat.
Play trills according to their notation. Most trills are notated with what looks like a sideways "z." If you see this sign alone, play a shake, alternating between the primary note and the one above it, starting on the note above and finishing on the written note.