This exercise is meant to teach your dog to pay attention to where you are.
Take your dog out on a solid (non-'Flexi') leash and begin to walk with it. The idea here is that you are going to be so unpredictable in your walking that the dog will be forced to pay attention to where you are going next. Continually change direction as you walk. Walk for ten paces or so in one direction, then turn away from the dog and walk in another, gently (especially with a young pup) but firmly pulling the dog with you. If he's tending to go left, go right and vice versa. Don't give the dog a cue that you are changing direction - it's his job to watch you; if you give him warning that you're changing direction, he no longer has any need to pay attention to you. When you change direction, don' start to walk in the exact opposite direction of the dog - this will result in the dog being able to pull against you using its best pulling muscles. Instead, always walk away to one side or the other. If you walk back at a 45 degree angle, the dog has a much harder time resisting this sideways pull. It's harder for the dog to brace against it and the dog has little choice but to follow you. Walk away from the dog with your back to it. This portrays a more 'serious' image ("We're going this way now, so you'd better follow") than backing away from the dog, facing it ("Please, will you follow me?").
Each and every time the dog catches up to you after you change direction, praise the daylights out of it and if you want, give it a treat. It's well known that dogs who are food-motivated learn new things faster with treats than with praise alone. As you continue to do this exercise, you'll find yourself pulling your dog less and less. It doesn't take very long for most dogs to catch on to this 'game'. Once they realise that you are highly unpredictable in your walking, they will start to pay attention more and more and will eventually change direction long before the leash pulls them that way.