ask them to pick something up, depending on how old they are, if theyre 3 or4 and they cant figure it out, show them, then help them until the job is done. help them till they understand what picking up is, then see if they can do it on their own. reward the first couple times, then just reward with a thankyou or a good job.
If theyre older like 6 or older, they should understand by now that they need to clean up after themselves. take away a privelege if they don't pick up, like 10 minutes of play time, or a toy for a day or two, till they learn.
younger than 3, yes you should clean up after them, but while doing it show them how you clean up, then they can learn