You either have, or do not have, a sense of humour (British English spelling).
However, if you feel that a sense of humour is important, here are a couple points to start with:
1. Try not to take yourself too seriously. If you happen to arrive in class wearing one brown sock and one red sock, or with your flies undone, accept it. Don't try to pretend it was planned, or is clever. Just accept that you are human.
2. Try not to take life too seriously. Accept that the biggest joke of all is that the only certain thing in life, once we survive birth, is that we will die. If you can't smile at that thought, give up all attempts at understanding humour.
3. Unless you are a professional comedian, never try to be funny.
Great points but I would tend to disagree with the last one. I think anybody can be funny, and even if you are not, you can certainly try. I find that people and students in general appreciates your attempts and, the attempt usually at least lighten the atmosphere if you need to.