We have had a number of questions on how to best develop listening skills. These come from a wide variety of web page readers, from students who are pursuing their studies through English-medium courses to doctors from abroad who are practising in England and find difficulty in understanding what their patients say to them. At the end of this answer, after the theory, we have some listening practice.
For most, if not all of you, the main problem is that the English that you listen to has to be processed in real time. There is no time to pause or think. You cannot 're-process' listening material, as you can with a written text that you are reading. So, if you miss important information as the dialogue or discourse proceeds, there is the danger, if not likelihood, that you may 'lose the thread' of what the dialogue or discourse is about.