Are you pulling on him, getting in to tug-a-war with him, you will usually lose. Try lifting and pulling forward and releasing in short burst on the halter, by this I mean pull his head in a forward and upward motion about 6 inches and then release pressure and then do it again, if he starts walking go with him without putting pressure on him. Many calves who were halter broke by dragging the halter have a difficult time learning to lead, I do not know if your calf drug a halter but if he did that could be part of the issue.
The following an animal that does lead is always a good method some others are:
Tie him in a pen (in a shaded area) and make him lead to food and water, If he does not lead he does not eat, won't take long before he wants to lead. You start where the food and water is where he can see (10 feet away or so) moving farther away as you make progress.
Bribery, we always seem to have some volunteer oats a wheat popping up, so we will grab a hand full of that and stick it in front of them (carrot in a string type deal) if he walks for you let him have a little every once in a while.
Be consistent and do not get frustrated, calves always see to go backwards every once in a while and you just have to take a few steps back with them and start from there.
Good luck