First, I want to start with the idea that listening and understanding are two different things. Obviously they are connected, but as learners, we’ve got to remember that listening does not mean you’ll immediately understand, no matter how much reading and writing you’ve previously done in your target language.
The first step is really just listening, you’re tuning your ear and brain to the sounds of the new language. Because of the differences in sounds, you’ve got to give yourself time to process the sounds so that you pick up the words that they’re attached to.
I like to start with music, because there’s less pressure. When it seems like lyrics in your native language don’t make sense half the time, there’s less of an inclination to think we need to understand every word immediately and less of a tendency to get frustrated when we don’t. Just try to pick up a word or two at a time, at first.