You may want to start with the Foundation Center's website and check out what they have to offer in training. As Marc says, targeting the grant application is the most important thing you can do,and it can take some practice in learning how to do it.
The Foundation Center's page that may be of most use to you right now is here:
http://foundationcenter.org/marketplace/recBeg.jhtml
If you belong to a state museum association, they may have workshops on the subject that will help you, and I believe AASLH and AAM do as well, though not every year.
Hope this helps.