I'm not sure how to approach this topic with all that's already been said.
One way to begin building your third eye is to sit in a room with a candle. Sit in front of the candle, about ten feet away. Watch the flame, pending physical sight capacity, watch the shadows move if the flame flickers.
Then, close your eyes, and notice the imprint in your retina. Now, keep eyes closed until that imprint goes away. Then, 'see' the flame in memory, access your memory and see the flame. Keep your physical eyes charged with psi as you do this, and continue to notice the flickering of light in the shadowed viel as it strikes your eyelids.
Open your eyes, notice the flame. Stare at the flame. When you think you have enough, close your eyes, and see the imprint in your retina. When it fades, and, your eyeballs are still 'seeing' the viel of eyelids (a common problem is that people 'turn their eyes off' when they go to sleep, I still do, for good reason though), then see the flame in memory, now, change the color of the flame to a vibrant pink or purple or even white or blue, bright, astral blue like on these forums. Hold that image until it burns an imprint into your mind itself.
Open your eyes. Now, see the flame as the same color, in your 'mental space' that you have just created. Basically, keep repeating this process until the candle burns out and you have a fully charged third eye. ((There is more to this than is being said here, some will recognize what is being said, old wizard stuff)).
Bare in mind, your other senses. Listen for the scintillant hum of the flame. Notice the man in the flame, feel his struggle for freedom, fight it with him and make the fire dance, even release a longer, thicker, brighter flame. Old candle magic is pure skill building. Also, your third eye can also be considered, 'your awareness itself'. I don't know how your mind works, or how your memory works. Some people are photographic, others are acoustic, others remember through sentiments, phrases, associations, or emotions. If you can combine all that, you'll have a fair size head and hefty, ready and capable brain. Don't put too much faith in your brain though, it too can be stolen. If you go that far, you'll have to prepare some kind of defensive mechanisms, without hurting yourself or nullifying your progress. Some people have a stroke from breathing incorrectly, simply because they have too much brain that they aren't using anymore. So be careful what you grow for brains.