Besides taking courses or majoring in college? Hmm...I've heard this from other writers, and I agree - just write! Sit down and start, even if you don't have anything on your mind at the moment. Don't worry if things don't make sense or aren't perfect, just keep going and let the story evolve where it will.
Also, whenever you have an idea for a story, jot it down, and devote at least some time to it, even if it doesn't end up as a complete story.
And read! Read your genre especially, but also read other genres, because they might just give you some ideas or conventions that you hadn't considered before.