Teaching a bird to step-up on your finger takes time and patience. During the process, it will build trust and will allow you to bind with your feathered friend.
This should only be tried once your bird has become accustomed to it's new surroundings. If your bird stays in the corner of it's cage, you may need to socialize your bird more before training it.
Steps
Slowly put your hand in the bird's cage. This shouldn't be too hard if you clean the cage and provide food daily.
Put it in there for at least 30 seconds and then pull it out. Keep doing this every day until your bird calms down and just stays at one spot. (This step builds trust that you will not hurt your bird.) You may also eventually want to offer him a small treat when you put your hand in the cage.
Slowly push your index finger against the bird's lower chest, right above his legs.They probably wont step up onto your finger on the first time. If your bird has never done this before, he may get nervous and back up. Wait five minutes and try again.
Rub his chest up and down slightly, while saying "Step up" or simply "up".
If the bird still does not set up, apply a bit more pressure on his chest. Eventually your bird will feel unbalanced and naturally step on your finger.
Repeat this with your other hand until your bird gets the hang of it.
With enough practice, your bird will do this if you present your finger without you saying the word "up".
Tips
Do not confuse biting with balancing! This is a common mistake. Your bird will always test a surface with it's beak before stepping onto it. If your bird does this, do not panic as it is normal.
Stay in the room with the bird even if it isn't out of its cage, it will become more accustomed to your presence.
Keep your bird in a high traffic room, birds are social animals and want to feel included
You should not have to use perches to train a bird to perform this command. In fact, perches may scare more than they will help.
Warnings
Cover up any transparent glass or mirrors as the bird may fly into those in a panic and injure himself.
Some birds, for instance Quaker Parrots, are notoriously territorial and require much more diligent training than other birds. Consult books on training parrots and how to minimize and deal with territorial behavior.
Wild birds shouldn't be taken away from their habitat to perform this, and it isn't recommended to get them used to humans
Things You'll Need
A socialized bird (most birds can perform this command. Finches and other 'wild' birds may have difficulty)