Find a movie or Youtube channel you like to practice your listening. You can even try to eavesdrop on people speaking the language. Just try not to make it too obvious!
If you're an absolute beginner, then you might want to start by listening to recordings specifically for learning your target language to get you used to hearing the sounds of the language.
As soon as you're able to recognize the individual sounds of the language, you should be able to start listening to real natives speak their language. Don't feel embarrassed if you only catch one or two words. Be proud of yourself for even catching these new words that you would never have picked out had you not been learning the language. These few words are the signs that you are slowly but surely peeping into a new culture and way of life.
If you choose to watch a movie or video clip, make sure you don't fall into the common mistake of passive learning. This occurs if you do not actively try to focus on what is being said and believe that just listening will make you learn the language. This has been proven over and over to not work. You need to actively try to pull words out of whatever medium you are using.
The question often comes up of whether or not to use subtitles or not. If you are a beginner, you should use subtitles, but use them effectively. Meaning, you should read them, but try to read them as quickly as you can so you know what is about to be said and try to hear what it sounds like in your target language.
As a beginner, keep a careful eye out in subtitles for words that you have learned and then try to hear them in the sentence. Do they sound different than the way you learned them? Sometimes words sound slightly different depending on where in the sentence they are (if they are words that are used to connote emphasis) or the words around it (some words get eaten up by others, such as saying, "Whadjyoudo" instead of the proper "What did you do"). Keep these things in mind and pay close attention to those individual words.
As an intermediate or above learner, you can learn much from both keeping the subtitles or turning them off. The best method is actually to do both with this exercise.
Try to keep the following focuses in mind depending on your level when listening to your target language.
- Look for words you recognize
- Listen out for the flow of conversation or the melody of the language
- Keep an ear out for simple grammatical structures (subject, verb, object)
- Look for conjugations (if applicable)
- Try to understand the overall idea of a sentence rather than how each individual word contributes to that meaning
- Listen to the melody of the conversation