Here is what you can play to make your dog do something.
Remember ,hold the x button
Lay - Up,Down,Down
Sit - Up,Left,Down
Herd The Cows - Right,Left,Right (You must put the dog in front of the pasture gate then play it).
Heel - Left,Right,Right
Jump - Left,Up,Right
Beg - Down,Up,Up
Note : If you do lay after your dog already laying ,it will open it's mouth.
Sometimes the dog doesn't react to what you've played. Try it many times till it follows.
Or maybe because it's heart isn't enough.
If your don't have 3 hearts, it can't herd the cows.