If you haven't been poker coached before, you may be wondering what you need. So first up, you need to find a poker coach (duh), and you can find a great SNG coach on this site. So, what else?
Well, you'll need some way of communicating with them over the internet. There are several options including Google Talk, MSN and so on, but personally I think the best is Skype (and it's free).
You will also need software to enable you to see your poker coach's screen (and vice versa). For this you can either use TeamViewer, or Mikogo, again both are free. In terms of someone coaching you, that's basically all you need in terms of software,
However, I think the other thing you need is a positive attitude and a willingness to take criticism and change the way you play. When you play poker you're making the best decisions you can based on your current knowledge. Your SNG coach may point out that these are the wrong decision - you need to be able to accept this and not take it personally. So, let yourself take the emotion and ego out of this - just because you're currently a losing poker player doesn't make you a bad person!
You will probably find your sit n go poker coach suggests you get hold of Sit N Go Wiz (SNG Wiz). I can't stress enough how important this software is if you want to improve your bubble play. On the bubble is where you make the money - learning good shove/fold play will mean you're making profitable decisions and therefore increasing your ROI. SNG Wiz can act as your coach inbetween sessions.
The other poker software you can use in-between coaching sessions to analyse your own game is Holdem Manager. This product is great value for money (especially for micro/low stakes players) and is excellent for self-learning as you can play around with the various reports and filters to spot 'leaks' and things you may be missing in your current game.
Find out more about the sit n go poker coaches available on this site.