[buliam]

What I did when I lived in Spain was watch a lot of movies in Spanish with English subtitles. This helped me immensely with my listening comprehension. Without subtitles, it was much more difficult to decipher words.

Also, if you're there for some sort of exchange, try to live with locals if possible and make it a point to speak in Spanish with your fellow exchange students/people, even if it seems awkward at first and would seem easier to just speak in English.

Other than that, there's no substitute for practice and exposure. Talk and actively listen as much as you can.