Find a good MP3 course in your target language. Companies such as the Radio Lingua Network (see Resources) offer a variety of MP3 lessons for free or for a small price. Look for courses involving native speakers in order to give you an authentic sense of the language. It's a good idea to preview the course before you download it to see if its methods match your learning style.
Upload the language course to your MP3 player. This way you can take it wherever you go and do your lessons when you have a spare bit of time. In general, devote at least 15 minutes a day to your course.
Listen. Pay attention to how the phrases are pronounced and any comments regarding how they are used in context.
Once you have heard the words and phrases, say them aloud. Most MP3 courses give you a few moments after the phrase has been spoken to repeat it. Try and approximate the speaker's pronunciation, tone and inflection as closely as possible.
Go over each lesson until you have mastered it. The first part of a language course often deals with introductions and greetings, so you may go through these quickly. However, more difficult subjects require intense study.
Practice. Meet with fellow language learners or a native speaker, and try out your new skills. The prospect may seem a little frightening at first, but there is little point in learning a language if you don't use it.