It is a good idea to repeat in your own words what the speaker said so that you can be sure your understanding is correct. Sit up straight and look directly at the speaker. Now and then, nod to show that you understand. At appropriate points you may also smile, frown, laugh, or be silent. These are all ways to let the speaker know that you are really listening.
Thoughts move about four times as fast as speech.
With practice, while you are listening you will also be able to think about what you are hearing, really understand it, and give feedback to the speaker.