Training a nervous anxious dog can be fairly challenging. When you undertake training it has to be using a positive reinforcement method. If the dog is very nervous and anxious then you are going to have to spend a lot of quality time with the dog, praising him for his achievements and showing him a vast amount of patience.
Do not get frustrated or angry with your dog if he does not do what you want him to do. This is counterproductive. The likelihood is that he is not being naughty but just does not understand what you are asking of him.
There is a good dog training manual that has had success with over 67,000 dogs that is available over the internet called Secrets to Dog Training it used to be called SitFetchStay. There is a short ebook available about the top 5 dog training myths, they also do a short course as well as a longer more in depth course. You can check out the details here