Most people can't just sit down and start writing. You need the ideas first- carry a notebook around with you and write down everything which sounds funny or makes you laugh. Then look through your notes and see what sounds like it could be made into a joke.
You also need ot think about what kind of comedy you're going to do- is it one liners, anecdotes, self-deprication, shock humour, observational? Look up joke conventions on the net, there are loads of sites which will give you examples on how to format different stypes of jokes.
Also, try to group similar jokes/themes together as it will flow better, and be easier to remember.
Write, write and write. And go to the other thread for further advice. It's really rather helpful!