You can never actually "train" your hair to grow a certain way. It's all about genetics, and unfortunately your cowlick is here to stay.
However, according to many hair-stylist/hair-styling websites, it is possible to manually work-out the cowlick's tendancy to force your hair in all directions.
I have included a link to one site that explains how to do this while the hair is wet. While the change is not permanent, it apparently becomes a lot easier to get the hair to behave over time.
I have a mean cowlick AND really thick hair. Let's say I have been sporting the "Bump-It" look long before it came into vogue. To get it lay flat, my stylist would sometimes use thinning shears in the area of my cowlick to get it to lay down more. It helped some. I personally felt that gel or mousse and a hot blow dryer and metal brush are more effective for me.
Hope this link helps.