When you first start working on your listening skills it is best to do a lot of passive listening. Listening to English podcasts is a great way to start improving your English comprehension. Listening to radio stations is another way of improving your listening skill. You can download players and find links to online radio stations at real.com, windowsmedia.com and winamp.com.
Films in English are excellent language resources. If your English is elementary, try some children's films, or get films with English subtitles. If you're at an intermediate or advanced level, the sky's the limit. You can find some English videos from the net. Some websites like 5min.com or startcooking.com are listed on the right column of this blog. Listening whilst reading is a good idea too. There are lots of audio books in our library.
Keep up to date with current events and watch an English-language news channel, such as BBC World or CNN World. Watch news reports on events you are already aware of.