Basic obedience (sit, stay, come) and fetch started the second I got her home. She was about 3 months. At that point fetch was just a game and we didn't focus so much on her returning to me. I just wanted her to see that it was fun. She figured out on her own that it was much more fun if she brought it back to me so I would throw it again.
At about 14 weeks, after she started to understand sit, stay, come pretty good, I introduced the whistle for those commands. Doing it at meal time made it a game.
At about 4 months we started real retrieves with her on the long leash. I would throw it, she would go get it and if she didn't bring it back I would pull her back. After each short session she got a couple "fun" throws off the leash so she didn't forget it was fun. I also introduced heel.
At about 5 months I introduced the wings to our fetch games and we also worked on her releasing to retrieve on command. Not because I want to do that in the field but because it was good reinforcement that she had to do sit, stay, come even if we were having fun. The e-collar was also introduce very slowly at about 5 months. I also started hiding the wings for her to find.
At 6 months I started introducing loud noises during meal time. I took this slow and had worked up to the shotgun after about 2 months. I think most people do this faster but being my first dog I wanted to make absolutely sure I didn't make her gun shy. After all she was a rescue that came from doggie death row in Tennessee so I didn't know what she may have already been scared of.
If you get that book I mentioned you'll notice that I kept in the basic training order he recommends but I actually started later then he says you should. He starts his dogs as soon as they know their own name or at about 9 weeks. Fetch starts even sooner. From 9-12 weeks most of the training is fun focused but at 12 weeks he starts to make the dog do what it is told.
I highly recommend that book. My local Boarders even had it in stock.