The parrot has to first have the capability for example. A budgie that you would buy from Petco isn't going to talk but an African Grey parrot can have a vocabulary of upwards of a 1000 words

You kind of have to say what phrase you are trying to teach him over and over again and he will eventually copy you. When he gets it correct, reward him with some food so he knows that he has done well! It's almost like teaching a dog tricks!