We all have different learning styles--some are visual learners; others learn by speaking; and still others learn best through tactile communication. A combination of several different styles can help you learn best, as the brain incorporates different input messages into one learning experience. Some learning experiences are more active than others: Reading can be a very passive learning experience, while listening and speaking are more active, as they force the brain to evaluate and respond to communication immediately. Even as you listen, however, try using visual cues to help you understand and remember what you hear.
Of course, you will need to start slowly or you might find yourself overwhelmed with fast-speaking native speakers using jargon and slang you have never heard before. Try to start by finding natives who speak a "standard" form of English, meaning that they use words found in a dictionary and avoid the vernacular. Whether listening to a person live or electronically, seek a conversation that incorporates a moderate speed--even if you do not understand everything spoken, you will learn the rhythms, inflections and syntax of English quickly. After becoming comfortable at the early stages, gradually challenge yourself to listen to faster conversation and speakers who use vernacular, which might include professional jargon or street slang. Patience is important, as listening can be a fatiguing exercise. As with any exercise, the more you practice, the more you will become proficient.
There are numerous ways to listen to English electronically--through movies on DVD, recorded conversations and conversations online. Websites such as http://www.youtube.com can provide millions of recorded monologues in English, and some sites such as http://www.elllo.org/ specialize in step-by-step listening opportunities, with the option to record your own video responses for other learners to observe. Watching newscasts from English-speaking countries such as England, Australia or the United States also offer examples of formal and standard English while demonstrating different accents and occasional regional vocabulary choices.
Ultimately, however, the best way to learn is to listen to a live speaker in his or her natural environment. Seek out public lectures at colleges, consulates, companies or museums. As your confidence increases, find the courage to ask questions of about topics you already know about, to listen to how the native speaker's response is phrased. Take part in face-to-face or online chats. Then, ask the speakers to constructively evaluate your comprehension and your responses. By practicing live listening experiences, your comprehension will develop quickly, and you'll find all your English skills improving.