Yes, dogs don't automatically know that a frisbee flies and they can catch it. Some learn faster than others, but your dog is certainly not strange for not catching the frisbee.
To teach him, you can start by holding the frisbee at mouth level, and letting him take it out of your hands. Make a big deal out of it if he does - praise, treats, etc. (You might want to squat, so that he learns when you're squatting he can take things from you, but if you're standing, it's yours.) Then, once he's good at taking it out of your hands, stand about 6 inches away from him, hold the frisbee the same way you've been holding it (mouth level, squatting), and gently toss it to him. If he doesn't catch it in the air, grab it off the ground before he does - we're trying to teach him here that he has to get it before it hits the ground, or he doesn't get it at all. If this doesn't work, you can even go back to handing it to him, but move it a few inches toward him (as if you tossed it, but your hand is still on it), and let him grab it that way. Again, make a huge deal every time he grabs the frisbee. Gradually move farther and farther from him (6", 12", 18", 24", 3', 5', etc.), making sure that he's catching it consistently before adding more distance. Once you start some distance, you might want to give treats or a toy whenever he catches it, as this will usually prompt him to come back to you with the frisbee.
It's also a good idea to get a soft frisbee, at least to start with. The cheap plastic ones tend to hurt their mouths, particularly at the begining before they know how to catch it comfortably. Soft ones are easy to find, petstores and I think Wal Mart all carry them.
Let us know how he does!