Equina gave some great advice, I just thought I'd follow up.
Start slow. Make sure your horse is physically fit enough to jump; they should be able to hold a frame and walk/trot/canter for fairly long periods of time while being supple.
For you as the rider - make sure you have independant hand, seat and leg cues so you don't confuse your horse, and are able to provide the right cues. Make sure you can hold a two-point and have a solid base so if your horse takes a wild leap (which he might if this is his first time jumping) then you'll just sit there and let him move under you without falling behind or in front of the motion.
Start small - do little (10" or so) cross-rails (X's) to let your horse get the feel of him having to carry you over a fence. Horses jump naturally, it's not like you have to teach them HOW to jump, it's more a learning process of how to jump TOGETHER.
From there, I would start raising the jump a little so your horse has to jump over it (raise it slowly, maybe end up around 18") and start finding the "box" - this is a very important step so that you can take off properly in front of larger jumps.
Here's what I mean: http://i237.photobucket.com/albums/f...an_686/box.jpg
(The jump doesn't have to be 2'6", this is just to get the idea. The black line (jump height) should equal the blue and pink lines, which represent take off and landing points)
I'm sure that's enough to digest right now!
Let us know how your training goes!