Here's a great article on teaching the retrieve:
http://www.shirleychong.com/keepers/retrieve.html
There's also a wonderful book called the "Clicked Retrieve"
Basically you need to shape it. Start with an object your dog hasn't done a lot with before. I generally start with a pen since it's like a dowel, but anything will work. Click for looking at it, then touching it, then mouthing it, etc. Once your dog is holding it in it's mouth for .5sec, you can either a)start putting it on the ground and clicking for a tiny little lift, b)have it in your hand but reach out so the dog moves forward to grab it, let go as the dog grabs it and turns back toward you, click the .5sec hold and head turn c)try to click for longer and longer holds as you still hold on to it. It goes slowly, but it's worth the work.
If your dog already chases after objects, just doesn't bring them back you might be able to shortcut this work. Try throwing a toy/ball and click as soon as your dog races out and just nudges it with his nose (maybe first spend some time clicking for your dog touching it in your hand). Eventually wait till dog runs out, picks it up. Then wait for run out, pick up, and take one step towards you, etc.
Or as an even bigger short cut you could try cutting a slit in a tennis ball and putting a treat inside. Some dogs learn they get the treat by bringing it back to you. Definitely doesn't work with every dog.
Good luck! It can be a ton of work for some dogs. Lance, the corgi, took about a month to do anything more than touch and then mouth an object. But once he got to picking up an object and turning toward me it only took another month go get a full, very formal retrieve, complete with a sit and hold. My natural retriever got the retrieve to hand fairly quickly but we're still struggling with the sit and hold.