Psychic dreams are a somewhat advanced version of lucid dreams. (Lucid dreams are dreams in which you know you are dreaming.)
In regular dreams our consciousness is also 'asleep'; the dreams are not very coherent and we tend to simply go along with whatever is happening in the dream.
In a lucid dream we can exert a degree of control on the surroundings of the dream and the direction it will go on. The drawback to lucid dreams is that if there is too much lucidity (if too much of our waking consciousness comes in), then the dream world fades away and we wake up.
The first step to having psychic dreams is to practice and master having lucid dreams. After that, the focus should be on having just the right combination of waking and sleeping consciousness.
Basically, a psychic dream is about establishing a more direct line of communication between our conscious and subconscious minds. By being satisfied with only a small amount of control within the dream, we can ask direct questions from the subconscious (by directing the course of the dream) and watch the answer unfold in detail.