You can take a training course approved by the Security Industry Authority (SIA). Many of these courses are run by private training companies.
You may also take a Level 2 Certificate in Principles of Providing Security Services.
When you have completed the right course for the type of security work you want to do, you can apply for a front-line SIA licence. You must have this before you can work legally in the private security industry in any job that is on the front-line.