P.M.
Dori has given you terrific advice. Babies are individuals, and some are great sleepers, some not so much. Part of parenting is enduring sleep deprivation or making adjustments to the baby's needs for however long it takes.
"Training" by CIO doesn't help them sleep well so much as teach them to give up on getting their needs for connection and comfort (and sometimes even feedings) met. And even those who do use CIO agree that 6 months is the earliest babies should be subjected to this.
Check out these videos for The Happiest Baby on the Block by Dr. Harvey Karp, who explains why he calls the first 3 months the Fourth Trimester, and explains why babies run pretty much according to their own needs for the first few months.
How-to's: http://www.youtube.com/watch?v=G6KnVPUdEgQ&feature=re...
Interview: http://www.youtube.com/watch?v=iu0TtxO-ocY&feature=re...
Enhanced sleep: http://www.youtube.com/watch?v=Tk5MUOMecHI&NR=1