There are a few very specific ways to improve listening skills that will help you to also express your thoughts correctly.  

1.  Audio with captions:  I do NOT ever recommend to watch movies or audio with your native language subtitles.  You must listen to English while reading the English words.  VOA English on youtube is a great way to start. (this will help your listening, and speaking skills)  

2.  Transcription:  Try to listen to an interview and write down 30 seconds of the interview per day.  Continue to rewind and listen again so that you don't miss even one sound.  You may not spell the words correctly but you are trained to hear all of the sounds.  Ask a native speaker to correct your work.

3.  Situational learning is great also.  This works best in real life situations or while watching movies.  When you see the situation and hear the words spoken, you connect the words to the situation and it helps you to understand the spoken language.  

4.  Some native speakers are very good at speaking in a natural way and then simplifying their sentences a second time to help you understand more complex and fast speaking.  These people can be very valuable to you as well.   

What we mean here is not merely listening but listening comprehension. So we try to catch up the sound of the word and in the meantime we attempt to pick up the context quickly. Drills like anwering questions promptly and having a discussion with friends can help improve our listening comprehension. Transcription technique is also helpful during listening either using an onscreen transcription as a guide or making a transcription (taking a dictation) from our listening. Transcription helps especially those who are better in reading and want to start improving their listening skill.

Xarmania, I don't agree with you. Pronunciation will not come naturally if you learn to write.  Writing and pronunciation have nothing in common. Pronunciation is only learned through listening and speaking.

Hi there,You can listen bbcpodcast it helps a lot .

I have come to the realization that speaking skills come from writing.  The ancient technique of writing what is spoken is essential.  Pronunciation is a good skill, but it will come naturally, if you learn to write.

Children learn from hearing, but those who already know how to write need to learn to write in their target language.

Arguably, it is fun to exchange personal information in a language not your own, but where do you go from there?  I believe that for most people, introductory material leads to a blind alley.

fFor example, Spanish came alive for me when an educated bilingual friend taught me to say the following:  Ayudame por favor.  She then told me to write what I hear.