Many people trying to learn a foreign language say that the best way to practice listening skill is to watch movies in this language with subtitles in their own language.
This statement is just partly truly. The thing is that when you watch video in foreign language (in our case in Russian) and you add there subtitles in your language it will be a waste of time. Our brain always choose the easiest operations and instead improving your listening skills you will pay much more attention to reading the subtitles in your own language, because it is so easy work for your brain. So what to do then?
First of all, when you want to train listening skill, forget about your native language and remember that your goal is not to understand all speech in the video, but to learn how to define the word boundaries, how to understand intonations and pronunciation of different characters. So let's see how to work with a video at different levels of the Russian language.
1 - if you are absolute beginner, and you already know the Russian alphabet and rules of reading, you need to watch Russian speaking videos (movies or cartoons) with Russian subtitles. Don't be afraid not to understand the speech. Here, as I said before, you need to get used to the Russian speech, intonations, voices of native speakers and learn to feel the words boundaries.
2 - Some psycholinguists say that if you watch video in foreign language during aproximately 7 hours at once, your listening skill grows up by leaps and bounds. You won't know what native speakers are speaking about (because you still may be do not know some grammar and vocabulary), but Russian speech will be clearly legible for you from this moment.
3 - When you already have some basis of the Russian vocabulary and grammar, start watching videos without subtitles. This is the best way to train the understanding of speech just by listening.
4 - Train your listening skill regularly, especially in the start of learning Russian. If you watch Russian videos only once per week, it will be non-efficient.
It was HOW to train listening skill. But we also need to choose WHAT to watch in Russian. And sometimes it can be a problem. First off all, if you train the understanding of speech, you need to choose those videos that corresponds to
your current level (not more than 5% of new words). Secondly, do not choose some old movies (even if it is classics), because sound there usually is not very clear and pronunciation may be quite old-fashioned (plus in old movies can be a lot of old-fashioned vocabulary that will just confuse you). Thirdly, better to watch long TV series, because there you get used to the speech of some characters and it helps you to concentrate at understanding them. Also you may watch movies that you already watched in your language and you know the plot very good in Russian with the dubbing (usual translation won't work here, because you will be distracted by sound of your language).
Follow this advice and I am sure, that you will improve your Russian listening skill very soon! Good luck, people!