How to Listen ??

Go pick up the book "The complete guide to high end audio". Awesome book that will help you learn the in's and out's of the audiophile universe.

...it'll come step by step. The best is to buy something that you won't feel negative for a certain period of time before you'll realize you need to upgrade. Meaning If you go for the very basic lo to mid-end you might very soon want to upgrade it.
First thing for me was details and clean sond(Creek 4330R)then I felt that dynamics were not as good as you would expect from fusion jazz or jazz-rock. It has guts to push the driver but doesn't have guts to stop it. Drum sounded longer than it had to sound as well as base -- totally uncontrolled.
Second thing was Bryston 3b-st Well detailed, dynamic, a great driver, but no warmth in mid-range and highs are rather harsh than detailed.
Third thing selling Bryston to get TUBES preferably with "balls".

The Chesky label makes a very useful compilation/demo disc that is useful for highlighting many of the sonic attributes of audio reproduction. I suggest you spend some time with a good dealer who can demonstrate a number of systems and point out their strenghts and weaknesses.

Go buy yourself a season pass to a symphony in your area.. listen carefully to what "real" instruments sound like.. woodwinds, brass, massed strings, etc. remember that, then go listen at a shop and see if it sounds "real" ... as opposed to "tissy", bright, boomy or otherwise different from reality.

One good thing to do is to spend a reasonable time listening to different types of equipment (tubes, cool and warm, vs solid state; speakers of different design principles(stats, horns, dynamics, planars, line arrays); and possibly "cheap vs expensive", before diving in. The purpose is to get a sense of the different presentations possible in audio. You can use all of your local audio shops for this - I personally figure every audio shop owes me an hour or two of free listening time, but I will not take a dealer's time beyond this if I'm not serious about buying from him.
Ken's description above is a good mental position to take, and keeps the process fun and enjoyable.
The ear-training that every audio-type develops amounts to learning to listen analytically to sound. It comes mainly from extensive, detailed A/B'ing and is equally a skill and a curse. After years of listening, I want musicality first but even when its there, my 20-20 ears keep complaining about trivia.