Explain the importance of setting goals--the things they allow a child to accomplish and the way they set dreams and ambitions in a definable context. Use real-world examples, such as the goal of getting a new bike or finding a good job if you're speaking to a young adult.
Talk about breaking goals down into manageable steps. They form the path by which the goal will be accomplished. Have the child formulate a concrete plan encapsulating a series of steps to meet a goal, and discuss the soundness and practicality of it with her. If a given step seems implausible, ask her to think of an alternative way of achieving it. Pay particular attention to the first few steps--ways of starting a project that may seem very large or difficult.
Stress the importance of motivation in goal-setting, and the need to accomplish things in a timely fashion. Younger children may have a hard time understanding delayed gratification, but such a concept is vital to the process. Talk about setting deadlines to accomplish each step and deadlines they matter so much. Without deadlines, nothing gets done.
Point out that unforeseen obstacles are likely to crop up in any plan, and talk about ways to deal with them. A problem can be an easy excuse to say, "It's just too hard" and give up on a goal. Emphasize that nothing worth doing is easy and stress the need to look for solutions rather than just surrendering to the problem.
Tell your child to believe in himself. Besides the satisfaction of accomplishment, the purpose of goal-setting is to build self-reliance and to teach children that they possess the tools to do anything the want to in this world. A sense of optimism can cement their drive, while allowing them to grapple with unforeseen difficulties much more readily. Going hand-in-hand with optimism is a pride of ownership--the happiness seeing the goal met and the knowledge that it was reached without any outside aid.