Keep a notebook with you at all times and write down events, ideas and situations that strike you as funny. Don't be fussy at this stage; it's only a notebook, so write down everything.
Observe the routines of comedy masters. Online video websites are a goldmine for this activity. Successful comedians such as Richard Pryor, Andy Kaufman, Chris Rock and Jerry Seinfeld make it look easy; this is a sign of their mastery of the trade.
Educate yourself about the different kinds of comedy; learn to identify them and decide which ones you are best at. Some examples are imitations, audience participation, prop gags, self deprecation, topical humor, absurdism and observational humor.
Make fun of yourself. Analyze any part of you that you may be able to build a routine on. Exploit your height, weight, ethnicity or manner of speaking. Many successful comedians exploit one or more of their own unusual characteristics.
Set up a situation and develop it. Try putting two incompatible ideas together and see where it goes. For example, a bookie in a church taking bets or a herd of sheep on a yacht. Absurd juxtapositions create energy that can be exploited for laughs.
Practice your routine in front of friends who know you well enough to be honest with you. Encourage them to tell you if your material is bad; otherwise you may find out the hard way, in front of a large audience of strangers.