Following an ankle sprain, you should start strengthening exercises once you can bear weight comfortably and your range of motion is near full. There are several types of strengthening exercises. It is easiest to begin with isometric exercises that you do by pushing against a fixed object with your ankle.
Once you have mastered isometric exercises, you can progress to isotonic exercises. In isotonic exercises, you use your ankle's range of motion against some form of resistance. The photos below show isotonic exercises performed with a resistance band, which you can get from your local physical therapist or a sporting goods store.