You must have ideas about training for whatever you do - if you work in an office, it's more likely to be Microsoft or time management or communication skills or something than crop spraying or health and safety in a nuclear workplace.
Look at the things you're struggling withand find some courses - we have a directory of online courses, but if your employer doesn't have something like that, check what they do offer, and also Google. There are definitely courses on dealing with difficult people.
If you find free courses, just do them. If they're paid, write a plan and justification and request the funding.
You could be proactive and develop a training plan - everyone in the department needs to do these, functions which include X need to do Y and so on.
It might also be worth checking with HR - do they have any course suggestions to support new managers? You can also get courses on how to lead teams and develop people. (With us, anyone who has people reporting to them gets a compulsory goal about developing and coaching their staff.)
It's not just about training - even if people get training, with some it goes in one ear/eye and out the other, plus training you won't use is generally a waste of time anyway.
You also need to give him feedback. Say things like, "I need guidance on what training we need." But also point out that micromanagement is rarely the most effective way of achieving things - do some research (there are plenty of articles online about micromanagement and the effects on productivity and morale) and get facts and figures to back your self up, particularly if he's the sort of person who likes metrics. Be clear - "You need to respond to the mail about X by 16:00, because..."
If he's really useless, then you need to get your CV up to date, but it could be he needs support and mentoring.