You don't need to understand every single word, as long as you understand the message.
At my university, we are asked to listen to a 15-minute news broadcast every week to practice listening (in French, but you can do the same in English).
If you didn't understand what was being said, just listen again and again and again. There's an English proverb that perfectly describes this: Practice makes perfect.
Of course, if it is an important word in a sentence that you did not understand even after listening several times, you can always try looking at the transcription. And if it is a new word, there is nothing wrong with expanding your vocabulary and looking it up. It will help you understand that word in the future.
Another tip I would loke to give you is: watch English TV shows and films. I've been doing this since I was a kid. I've never done this in French and now have more difficulties with that language than with English.
So you can't just open a book and study in one day how you should listen to English. The more you do it, the better you will become. It is all about persistence and dedication.
I hope this helps! :)