In my experience, one of the best ways to improve your comprehension of spoken English is to watch a LOT (!) of English TV series and movies - and, most importantly, doing it with English subtitles! Yeah, English audio with English subtitles, it might seem strange, but that's my insider tip for you!
In the beginning you will mostly be reading along the dialogues (while the movie characters are reciting them for you), but step by step you'll find it easier to naturally understand the words and sentences. And someday you can totally skip the subtitle part and just understand everything! =)
Without promising too much: By doing this for a long time (I probably watched 500+ movies/TV episodes with original audio and subtitles) I was able to improve my listening skills tremendously. Today I don't have any trouble at all with understanding English conversations.
I hope it helps you, too!