The way I learned to better my sense of humor happened sort of by accident. My partner decided to start overtly laughing at things I said or did that they thought were funny... politely of course, and they even laughed at things I did that were mildly funny. When that began to happen, I asked others to help me with this by laughing at somewhat funny things I might have said and some of them did. It worked pretty well. It turned out that I was alot funnier than I thought, once I got this feed back from others about what exactly was already funny about what I did.
Also read this book on humor in writing, which made me realize that there were lots of things I thought were funny or at least curious, but I didn't know how to convey what it was that I found to be funny about them to others. This book helped me do that.
Comedy Writing Secrets - How to Think Funny, Write Funny, Act Funny&Get Paid For It. Melvin Helitzer - (not sure how to quote a book here yet.)
Another person helped me immensely. He was a salesman who naturally collected jokes. I would call his workplace and ask, "Is this the Terry Delsing School of Comedy?" He would tell me a joke - I'd write it down. Then I would tell him a joke, which was a variation on the last joke he told me after I figured out why it was funny and changed the particular specifics. Writing down jokes really helped me remember them.
Finally, I took a class on improvisational theater. Even though I wasn't very funny, I learned quite a bit about why people were funny and what made someone able to be funny. I got better at it, and I got to be pretty good at helping other people be funny who were around me by being a better "set up" for their funniness. Rule of thumb - you always agree with someone when they come up with an outlandish statement - and see if you can make the "spirit" of the statement even more exaggerated. So the answer is always, "YES!...and"
...and guess what "and" is?
If you have the answer, don't tell me now....
See? Feeble attempt at humor.