When you're learning a new language, one important and difficult task is learning to correctly hear and identify the sounds of that language. Their s doesn't sound like your s, their r rolls differently than yours, and their accent and intonation make it difficult to understand what you hear.
When learning a new language, I spend a lot of time and attention on training my ears. Basically, this means listening to the language being spoken, and then making sure that what I heard is the same as what was said. There are a few exercises I use to do this.
Perhaps the most useful exercise, especially in the beginning, is to look in a dictionary and find the meanings of words you hear. Simply keep a dictionary at hand (for me, that's an app on my iPod), and as you're listening to music, or podcasts, or watching a movie, listen for words you don't know, and look them up!
Not only does this help you to improve your vocabulary, but it helps you to notice phonics, intonation, and stress patterns, it gets you to pay attention to subtle sounds, glides, elision, and more.
Another exercise that can help with this is to watch movies or videos in the target language, with subtitles. As you listen along, try to reason out what you hear, and then glance at the words on screen to see if you were correct.
And finally, after your vocabulary improves, transcription is an excellent way to improve your hearing. Listen to a short bit of speech (like those I share in my guest readings and try to write down everything that you hear. If you have the original text, you can compare when it's done. If not, try using Google Translate to see how close you were.
All of these exercises will help you to be a better speaker and listener. And, the more time you spend practicing, testing, and improving your comprehension, the better you will be when you encounter speakers with strange accents, odd voices, or speech impediments.
Want to see my favorite language resources and courses?
I listed them here.