Leave the halter in the stable with him for a while - let him stomp on it and let him pick it up and swing it round!
When he is comfortable with picking it up himself (wont take long, foals are naturally inquisitive, and they test most things with their teeth), gently take it back rub it all over him so he gets used to it and doeswnt see it as a threat. Next, undo it (so the nose band and the band that goes behind the ears are open), then do the bit of the halter that goes over the head (behind the ears) up on the foal. Once this is in place, you can proceed with the noseband once the foal has settled. Leave it on him for 10 mins and get on with something else (like cleaning the stable), this way the foal is distracted by you cleaning, or he can just take 10 mins to himself to get used to the new sensation. Make sure you are in a fairly contained space so he cant fly off out of reach, but not in such a small space that you can get injured/cause him to get claustrophobic.
After 10 mins or so, go back and take the head collar back off (from the top - leave the nose strap done up.) Stroke the foal and reward him with kind words for being so calm, and then put it back on him (undo nose band if you have to). leave for 10 mins, then take off and go home!
The next day, let the foal sniff the collar again, chew it if he must, and rub it on him if necessary... and then put it back on him again (in 2 stages, over the head piece 1st, then over the nose). leave him for a while. If hes in a safe space where he cannot get caught, then leave him for an hour or so. When you remove the headcollar, do so leaving the nose piece done up. reward him and let him sniff it again.
Try putting it back on with the nose band done up again. Then take it off with the nose band done up, and leave him to it. It shouldnt take too long to teach him to accept it, but you dont want to bore him with it either - dont do too much at once. (They say it takes 60x for a horse to commit something to memory though, but if you get it on him gently 2x a day, then he'll soon remember...and he'll not have forgotten the process the next day either - its just when you teach a horse something 2x and then leave it for months before repeating that you will have a problem, lol).
Once the foal is happy to have the halter put on and off, then you can start "fiddling" with it. Pull it in various directions (gently), so he gets used to it. Put him in a penned off area and do some "join-up"...(let him follow you). When he is comfy doing that, attatch a lead rope and wiggle it gently. When he is calm, just walk off. Dont pull him, that will teach him to resist. if he does not follow, leave a little pressure applied, and wait until he steps forward (even just one foot). when he does so, release the pressure and carry on walking.
DO NOT FACE THE FOAL WHEN YOU ARE LEADING HIM. ALWAYS FACE IN THE DIRECTION YOU WANT TO GO. If the foal stops, dont look at him, just keep the pressure applied where he stopped (dont tug more) and yuo should stand your ground. when he steps forward, the release of tension in the rope is his reward.
once he has taken a few steps in the direction you want him to go in, then he can be petted and rewarded.
Its best not to reward foals with treats from the hand - that teaches them to nip and be pushy....(just to let you know)...although it is up to you whether or not you are going to feed him treats from the hand. Ive found it much easier in the long run to feed treats from the feed bucket, or to throw treats on the floor to them to forage. However, I do understand you trying to gain the foals confidence through feeding treats as he will associate you with treats...in the long run, however, you may find as he gains confidence that he starts pushing you, and nipping you if you do not give him a treat when he expects it.
Ive had all of my horses since they were foals...the oldest I bought was just under 12 months old....none of them were halter broken when they arrived. Its worked for me, but each horse is different....the above is my first choice though! It is, however (as someone already pointed out) important to establish boundries, and also to make sure the foal does not see you as inferior to him - he must see you as the team leader or you will end up with all sorts of problems as he grows up!
Also, if he isnt going to be used as a stallion, then I would suggest gelding him as soon as hes old enough - it will keep his testosterone levels to a minimum and will also aid in keeping him easier to handle.
I've always loved youngsters - they can be such a pleasure to own and watch as they mature. Im sure you will soon establish a bond and a friendship that will last for many years. Good luck!