Get on the job training by jumping right in. Some construction companies will hire competent people that they believe can learn in a short time and on the job. This allows them to simultaneously train a new employee and get some work done. Taking this course you will probably be paired up with a mentor who will oversee your development as a shot blaster and decide when you are ready to begin on your own.
Take a training course. Many companies offer you the opportunity to not only get hands-on training, but to learn the ins and outs of the machine in a classroom setting.
Initiate your own training. With the economy the way it is, you won't always be able to get a job that will train you, or you may not be able to afford taking a course. Be aggressive. Offer to apprentice for free and get your training that way. Your chances of getting a job are going to be significantly better if you already have the skills necessary to do that job beforehand. It'll save the company money if they don't have to pay someone to receive training.