The most natural way to listen is through simple immersion, which requires no extra understanding. For this, I recommend that:

1. You free yourself from distractions - external and internal.
2. The pieces that you listen to at first shouldn't be too challenging (emotionally, textually, tonally, etc.). If you're just trying to become immersed in a piece, you shouldn't pick something that would throw you too many curveballs or catharses on the inexorability of human despair. You can trust the following pieces not to steer you too awry. Handel's Keyboard Suites, any of these piano works by Ravel. And Mozart's Piano Sonata No. 5.

There's another way to listen which is also accessible to the incipient. If immersive listening is to sit back in your chair and let the music wash over you, then critical listening is to sit forward and attentive in your chair. You don't need years of music theory and ear training to do this.

Here's an exercise: If you wish, I want you to try to listen to this piece by Bach. Listen intently as if you're listening to a recitation of a poem. Every chord and run is imbued with an articulate meaning, so allow yourself to hang on to the composer's every word.

Bach's Violin Sonata in g minor

(But if you find yourself being drawn into immersion, don't fight it.)

Here are a few more pieces that reward critical listening.

Luis de Narvaez's Vihuela Fantasias (ca. 1540)

Castelnuovo-Tedesco's Capriccio on Goya's 'The Sleep of Reason Produces Monsters'

D.Scarlatti K.184

Mendelssohn's Violin Sonata in f minor.