The very first thing you should do upon bringing your bird home is work on forming the beginnings of a bond with your new pet. Chances are that your new bird is fearful and unsure about his new environment. Take a few days to spend time practicing gentle socialization techniques with your bird before delving into teaching him to respond to commands.
Part of the bonding process can include conditioning your bird to the name that you have chosen for him. Once you have selected a proper name, it is preferable to stick with it. Although it is possible to change a bird's name once you have chosen one, it will be much easier for both you and your feathered friend if you choose a good name that you like -- one that will grow with the bird and you both can stick to throughout the bird's lifetime.
In order to teach your bird his name, you will first need to secure a quiet area in which you and your pet can sit and work. Make sure that there won't be any traffic coming through that might frighten your bird, and make sure that the room is free of distractions like TVs and radios. Secure any windows so that your pet will be well contained while out of the cage, and make sure that any doors leading into the room remain closed and secure while you are working with your pet.
Using a tasty treat such as small pieces of cut up fruit or even sunflower seeds, Calmly say your bird's name to him and immediately reward him. Repeat this process over and over for up to 15 minutes. You'll notice that very quickly your bird will begin to look toward you in anticipation of a treat every time you say his name. Once your bird begins to do this reliably every time you say whatever name you've chosen for him, then you can be assured that he has learned to respond to the name.
The best way to get your bird to learn his name quickly is to repeat your 15 minute training sessions 3 or 4 times per day until you are getting a proper response out of your pet. Be sure to give your bird a proper break between your training sessions, so that he doesn't get too full of treats and so he doesn't begin to get bored with your little "class." Keeping training sessions short and fun for your pet will give you the fastest and easiest results, no matter what you are trying to teach your pet.