Beginning language students will need to resign themselves to asking people to repeat what was said, or to rewinding cassette tapes repeatedly. When doing a written exercise based on an audio or video tape, study the questions carefully before listening. Make sure you understand the questions and what you are expected to listen for. And be sure you are familiar with any assigned vocabulary list for the chapter you're working on, before listening to the exercise. Every student is a distinct individual, and every individual's brain works in slightly different ways.
Different people find it easier to learn in different environments and from different methods.
Teachers, of course, try to do what's best for the greatest number of students in the classroom, but you as an individual student should tailor your own study habits to suit the way your own brain works.