The best advice I ever heard about circular breathing was to practice using a straw in a glass of water. Your goal is to keep a continuous stream of bubbles coming out of the straw. To do this, you need to be able to store some air in your mouth, close off your mouth from your nasal passage, and then carefully and controlledly push the reserve air out, while you are simultaneously breathing in to your lungs.
If you can get that, you can do it on an instrument, such as the didg. Good luck!