Many language education companies sell CDs to accompany a textbook or even stand-alone CDs that you can listen to you while you are driving or working out. You can also download language learning podcasts to store in your mp3 player. It might be helpful to have an accompanying textbook or guidebook just in case. You can also listen to many Russian radio stations online for free. visit http://www.russianinternet.com/radio/ for a sampling of Russian radio stations.
Go to Russian news websites and look for news videos that you can watch and listen to. YouTube is an excellent source for clips of Russian television shows and fun Soviet era animations as well. Watch Russian films with the subtitles on to see how much you can understand. If you are beyond the beginner level, leave the subtitles off. You can rent Russian movies through Netflix or buy them on Amazon. You can also download Russian films without any English subtitles from Russian websites.