There are a lot of ways to do it. The one I always choose is to simply halter him, feed him (so he associates halter with a treat after beign caught). Once he understands the haltering end of things put him in a round pen or paddock and try to lead him. Back him up, turn him left and right. Get him to move off hand pressure and slowly add moving forward to the combination.
Every horse is different and there are different methods to teach them to lead. Using an experienced horse along for a walk and taking him out is also another great way. He will want to follow the horse you are taking it but you can add more and more work and asking him more and more things as you do take him out.
I have no idea if I'm making sense. I've halter broke dozens of horses and as you know they have all different tempers and levels of stubborness so you got to find tricks to get them trained.
Foals are a lot of fun. Come back and post pictures