First of all, you must know the structure of the Chinese pinyin.
Chinese pinyin consists of three parts: initials, finals and tones. For example, "mā" is made of the initial "m", the final "a" and the tone "－". Please be aware that not every Chinese pinyin contains these three parts, such as "ài", you cannot find the initial, we call it zero initial syllable. Sometimes you cannot find the tone on the top of the finals, like "ma". This is the neutral tone which is light and short with no tone mark in Chinese pinyin.
Second, you need to find the Chinese initials, finals table, and know how to pronounce each of them correctly. In addition, there are five tones in Chinese pinyin, you need to know what's the difference between each tones and try to pronounce each tone accurately.
This part would be more difficult as each Chinese language learner will have different problems on Hanyu pinyin. Most foreigners need to spend more time when they learn to pronounce "zh, ch, sh, r". They also have problems to distinguish the three palatal "j, q, x". The finals seems easier than initials. But "ü" is a challenge for some foreigners to learn. Not so many languages in the world have tones like Chinese mandarin. This is also one of the reasons which make people regard Chinese as one of the most difficult languages in the world. Actually, except more practice, to grasp some useful skills is also essential for Chinese learners. Here you can find some practical Chinese pinyin courses online, which can help you to find a good way to learn Chinese pinyin well.
Third, the spelling rules and pronunciation rules of Chinese pinyin are what you must master. Where you should put the tone marks. Why when the "ü" followed after "j, q, x, y", you should read it as "ü", but the two dots over "ü" should be omitted. Why we need to change the tone when two or more than two third tones together, and how should we change. How can we pronounce "yi" and "bu" accurately when they are followed with different words, etc. You can find the detailed explanation of these rules online.
Fourth, try your best to practice and speak is requisite when you learn a new language. You can listen to the CD and try your best to follow the pronunciation, do some exercises on pinyin, find someone who can help you correct your pronunciation.
Nothing in the world is difficult if you put your heart into it.