Some people believe that you are either born with a sense of humour or not. However, it's not true. You can develop your sense of humour. If you want to do it, the first thing you need to learn is not to take yourself too seriously and laugh at your own mistakes if there are any. We all do foolish things from time to time. Instead of feeling embarrassed or defensive, accept your faults.
Most events in life don't carry a deep sense of either sadness or delight. They fall into the gray zone of ordinary life. So, in most cases you are just given the choice to laugh or not to laugh, which means you can choose to laugh whenever you can.
Laugh at yourself. Share your embarrassing moments. The best way to take yourself less seriously is to talk about times when you took yourself too seriously.