Listening is not the same as hearing. Listening is a conscious activity based on three basic skills: attitude, attention, and adjustment. These skills are known collectively as triple-A listening.
Maintain a constructive Attitude:
A positive attitude paves the way for open-mindedness. Don't assume from the outset that a class lecture is going to be dull. And even if the professor/lecturer makes statements with which you don't agree, don't decide he or she is automatically wrong. Don't let reactive interference prevent you from recalling the speaker's key points.
Strive to pay Attention:
You cannot attain concentration by concentrating on the act of concentration. Your attention must focus on the lecture. When you hear a lecture, the words enter your short-term memory, where they have to be swiftly processed into ideas. If they aren't processed, then they will be dumped from short-term memory and will be gone forever. Attentive listening makes sure the ideas are processed.
Cultivate a capacity for Adjustment:
Although some professors/speakers clearly indicate what they intend to cover in their lectures, you need to be flexible enough to follow a lecture regardless of the direction it may take. If, however, you are thoroughly lost or if the speaker's message is not coming across and you need to ask a clarifying question, do so.
The above information was adapted from Walter Park's How to Study in College, Fifth Ed.