Well, the first thing is to be able to remember your dream. Next :
To trigger a lucid dream, there are several methods you could use. I personally use the MILD (Mnemonic Induction of Lucid Dreams).
First, you need to realise that you're dreaming. It comes in 3 steps.
STEP 1 : REALITY CHECKS
A reality check is a test you do which helps you to determine whether you're dreaming or not. You should ask yourself the following question several times throughout the day "Am I Dreaming" ?. Then, you need to perform a reality test. The key is that the result of the test will be different in real life and in the dream. It may sound stupid to do it in real life, but the more you do it in real life, the higher the probability that your dream character will perform that test and trigger the lucid dream.
There are several reality tests to choose from. I personally count the number of fingers on my hands. 5 in real life, and impossible to count in a dream.
More info here : http://lucid.wikia.com/wiki/Reality_check
STEP 2 : LUCID AFFIRMATIONS
Now, when you go to bed, you need to get your dream character to perform a reality check and realize that you're dreaming. The key to do this is to program your brain to realize that it's dreaming.
Just keep repeating in your head "Tonight, I'm going to remember that I'm dreaming".
Repeat it over and over and over until it's stuck in your head. The last thing you think about before you fall asleep should be your desire to realize that you're dreaming. Stay focused on this thought..
STEP 3 : VISUALIZE YOUR DREAM.
Once you are deeply relaxed, try to recall a previous dream but this time, try to relive it as if you were lucid (Interact with your dream characters and seek out any dream signs. A dream sign is an unusual thing that makes you realize that you're dreaming. For example, a flying pig can be considered a dream sign) During this process, you might fall asleep. And that is perfectly fine. Later on that night, during your next REM stage, you have a much higher chance of becoming lucid.
When you're lucid, you can re-create Equestria and the ponies and even interact with them. However, please bear in mind that the more changes you do to your dream, the less stable it is (You might find that it starts to fade away). It takes a lot of practice to learn how to stabilize a lucid dream.
This method was devised by Pr. Stephen LaBerge from the University of Stanford and has been scientifically proven effective.