It means writing down main points, key details of examples, definitions of important terms, and questions that occur to you. Very often instructors explain material by using illustrations, questioning students, or using other techniques where they do not write things down. Learn to take your own notes so you become independent of the lecturer's style. Review your notes after lecture, referring often to the text and its diagrams. Concentrate on the conceptual framework.
Details are much easier to learn and remember if they fit into a larger scheme that makes sense.
Think about trying to remember the images in a jigsaw puzzle. Draw flowcharts and diagrams, make outlines, make up mnemonic devices, think of new examples of concepts, explain things in your own words, explain things forwards and backwards. If you wrap your brain around the material in as many different ways as possible, you'll be prepared to respond correctly to a question on the material no matter what form it may take. Simply reading and re-reading the same words over and over will not help you understand the material. Study with others.