Listening comprehension is always difficult when learning a new language, and French is not an exception!
Recognizing sounds, identify words and their meaning is a complex process which requires practice. A great tool to do that is to do dictation in French.
Here are some exercises which will focus on the various aspects of the language. Some are only dictation including punctuation, some are just one audio recording, some are in a video.
For each exercise, listen once then, at the second listening, write down all that you hear (repeat or pause 2 or 3 times if needed, but no more). Review your transcription and compare with the one provide at the end of each page.
More listening comprehension exercises at