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When listening in a foreign language, you'll find yourself saying "I don't understand" a lot. To be more proactive, you can ask for the meaning of individual words. For example, if somebody says "I went to the store and bought tibobs," say "Tibobs?" The person will respond, "Sure, tibobs. They're yellow fruits." From this, you can infer that "tibob" means "banana". Write that one down!  This trick is excellent, not only because it directly helps you learn, but because it encourages further conversation. Saying "I don't understand," all the time only discourages it.