The wikipedia page on flea circuses has a pretty good summary of what went down with flea circuses. The entire culture behind creating flea circuses was in creating a challenge. Whether that challenge was in creating all the details and excitement of a circus in a miniscule size, or in tricking people into thinking that they're seeing something they aren't.
It was common for watchmakers to create flea circuses as a way of challenging their ability to work with miniscule objects. It served as a sort of exhibition to show your work and compete with other watchmakers.
Flea circuses were also a ripe market for con artists. Their goal was to see who could trick the viewers into thinking that they were seeing fleas performing, despite the fleas not being real, or even non-existent. Generally, these were the type of flea circuses you'd come across in traveling circuses or freak-shows.
When real fleas were used in the circus, there were several ways to get them to appear to be performing tricks. One of the easiest ways, was to set up a couple of dead fleas in positions, and have a group of live fleas jumping around freely. The live fleas would usually be enough of a distraction that it would be hard to tell that the fleas that were meant to be performing weren't moving. Add in a smooth talking salesman directing your attention, it would be hard not to walk away thinking you saw something.
In some cases the performing fleas were tiny metal figurines, and magnets underneath would be causing them to "perform" while the live fleas hopping around freely would hide the trick.
Another common method was to use glue control the fleas' movements. Commonly fleas were glued to miniature bleachers so as they struggled to escape, they'd look like a cheering crowd of spectators.
To create the band, miniature instruments would be glued to the fleas, and they back legs glued to the floor. As they struggled to get away, it would look like they were playing a lively tune. A match or other heat source would be placed underneath if they needed some encouragement.
The other common method was to use a harness made of gold string. The harnesses could then be used to attach the fleas to miniature carts and chariots that they could pull around, or even miniature ferris wheels they could turn.
In the end, fleas don't have that long of a lifespan, and as insects, a limited level of awareness. I think that by the time you could get close to training a flea to perform a trick on its own, the flea would be at the end of its lifespan.