I would recommend to use an mp3 songs on the computer and not radio songthat way you can control the song position and go back and forward on the player at any part till you find the played line. (don't givw up till you find it)
I would also recommend you to start with easy songs and even better if you start with melodies and not basslines.
Melodies like guitar riff and a singing vocal is always upfront, unlike bass lines that in some mixes sits really behind(depends on the band and the song) so it would be easier to hear for beginers.
When you want to take it a little bit further you can use this
EAR TRAINER , this connect the ear training with theory like earing chords, intervals and scales.
I will support Incognitus and say "practice practice practice".
Salute and good luck
Adi