Determine the context of the poem. A little historical understanding and knowledge of the poet can go a long way: who is the poet writing to? Why? What was going on at the time that the poem was written? This information provides pieces of a broader puzzle, and can help you understand where the poet is coming from.
Read the poem closely several times. The first step in understanding a poem is to read it over and over again, closely. Look up any words that you do not understand and ensure that you understand the way in which each word is used -- especially since some words can be used in more than one way.
Look for metaphors and other deeper meanings. Poets rarely speak directly. Instead, they use written devices such as metaphors and similes to convey deeper meaning, rather than just relying on literal meaning. In poetry, wind, light, and shadows are often referring to a lot more than just those things.
Discuss the poem. After gaining a basic understanding of the work, discuss it with peers or professionals -- poets, professors or writers. This can be done in person or, sometimes, online through forums or literary websites. Doing this will bring new perspectives to the poem and may help unlock some ideas that you have missed.