Choose an audiobook from your library or other source that interests you but also seems a bit of a challenge for its general vocabulary, or its use of a second language you're trying to learn, or its presentation of material at a higher level in a specialized field you're interested in learning. Your public library may offer audiobooks as MP3, or DRM, files you can "borrow" as downloads to your computer or music player but that will expire, as well as books on CD that you can listen to on your computer or stereo. Make sure the book is "unabridged," containing the same material available in a print edition.
Examine the same book in printed form before beginning to listen to the audiobook. Open it to a page at random and see how easy it is for you to read. If it's too easy, it won't build your vocabulary. If there are too many words you don't understand, you won't have enough context to learn what the words mean. Look for a book with no more than one unfamiliar word per sentence, but at least one new word in each paragraph.
Play the audiobook, preferably over headphones to minimize distractions, while you read the printed or e-book text. Stop the audiobook and rewind if you don't understand something, and make notes of words that you've learned from context and those you don't yet understand, recording the page where each appeared in the text and the track you were on in the audiobook. Read only until you have about 10 words in either list.
Look up all of your new vocabulary in a dictionary. Check to be sure you've correctly interpreted the context of the words. Try using each of your words in a sentence other than the one you heard in the book. Compare the pronunciation you heard with the pronunciation given in the dictionary.
Replay and reread that section of the book, watching especially carefully for the words on your list. Compare the dictionary definitions to the usage of the words in the book. Correct your understanding of sentences and paragraphs that misled you on understanding some words. You may need to start and stop the audiobook frequently and rewind several times to fully understand some words.
Review your new vocabulary frequently, beginning each new work session by looking over your word list from the last session or two and replaying those sections if the meanings and pronunciations of the words aren't clear enough for you to use the words in your own sentences.