Start slowly. You don't want to throw everything at yourself at once. Learning the alphabet and numbers is the best way to begin. Once you have learned the basics you may begin to build upon that knowledge.
Listen intently to everything being said. Some words sound similar, so it is important to know the difference in pronunciation. If your mind begins to wander, your brain may not pick up on the subtle differences between different words. For example, the words "wander" and "wonder" may sound similar, but they have different meanings.
Practice speaking along with the audio. Listening is one thing, but actually speaking the language improves your chances of retaining the information.
Repeat the audio segments. Do not advance to the next, more advanced section of your audio course until you understand everything completely. Building on a shaky foundation is only going to set you up for confusion and frustration.
Use what you have learned. Whether you practice speaking to yourself, with friends or family, or while you run errands, practice what you have learned as much as possible. Speaking and listening to the language is essential to becoming fluent.