Next to potty training, leash training is one of the most important things to do for your puppy during those crucial first weeks after you get him. It's easiest to teach your pup to behave well and not to pull if you reinforce this idea from the onset.
Get your puppy used to wearing her collar and leash. First, put them on her for small periods of time, such as two to five minutes, just so she can get used to how they feel. Then increase to ten or fifteen minutes. Supervise your puppy the whole time so the leash doesn't get caught on anything. Once she is comfortable wearing them in the house, you are ready to head out.
Teach your dog to walk by your side by keeping the leash short at first, meaning rolling it up so that there is only enough length for your dog to be right next to your hip. Tell your dog to "heel" and praise him as he walks right next to you. Be careful when using this short leash technique so that you don't yank or choke your dog unintentionally.
Slowly begin adding more slack and see what your puppy does. If she immediately pulls hard on the leash, stop walking and call her back to you. Refuse to move again until the leash is slack. Then praise her and continue. Repeat this exercise until she realizes she will be rewarded for not pulling. It may take several walks for it to sink in.
To train a puppy who is more of a wandered than a puller--he walks around haphazardly every which way instead of staying by your side--by making a lot of turns so that he has to pay attention to where you are going, not where he wants to go. Every time he wanders away from by your side, make an abrupt change of direction so he follows. Praise him at the precise moment when he starts to let you lead.
Reward and repeat the word "heel" each time your dog walks in the proper manner on her leash. Remember to continually reinforce the training during every single walk.