Dog training always begins with a calm, positive owner, and usually extra-yummy treats. To train settle, you'll also need a comfy spot for your dog to rest, preferably somewhere that you can easily send your dog regularly that's still in full sight of where you spend most of your time--so a quiet corner in the living room or family room will usually work well. Put your dog's bed here and leave it here, if possible.
When you're ready for a training session remember two things: always end a dog training session on a positive note (with the dog doing something you can praise) and keep dog training sessions short, about 5-15 minutes depending on your dog's age and attention span.
Now, bring your dog to its bed, and ask the dog to lie down. Then, give a treat and praise.
Sit beside your dog and wait until your dog is very calm. Then, say, "Settle" and give another treat. Wait another minute or two until your dog is completely calm again, and say, "Settle" and give a treat. Aim to repeat this two or three times.
If your dog's like mine, it's going to take a few minutes before she calms down that first time, so I like to listen to my iPod while I'm waiting so that I don't get bored. It's really important you wait the dog out and only give a treat when the dog is completely calm.
Practice this new behavior every day for at least two weeks in exactly the same way. Pretty soon, your dog will start looking a little sleepy when you ask her to get on her bed because she knows that's the way to get a treat. Once your dog is able to settle on command, you can slowly introduce distractions.
For a dog with separation anxiety, those distractions might be asking your dog to settle on the bed while you put on your shoes and get your keys. For a dog that gets really excited when company comes over, practice settle when you have guests.
After two or three months, your dog will be really good at settling on command, but it does take patience because this isn't a command that comes naturally for most dogs (unlike, "Sit"). It's well worth training, though, because it'll make a big difference in how your dog behaves, so keep at it! Keep training sessions upbeat and positive, be patient, and pretty soon your dog will be able to settle on command no matter what's going on.