For me, the first step in becoming a better listener was realizing that I wasn’t as good at listening as I had thought. When someone’s giving you some advice, and it contradicts what you’ve already concluded, it’s tempting to nod politely and move on. That was my habit, and it didn’t feel like “not listening”. I’d heard them. I just felt like they were wrong. But now I think, in that kind of moment, polite acquiescence is not really listening. They've shared only their conclusion. Most of what they want to tell you, and most of what’s useful, lies in how they reached it.
These moments used to pass me by unproductively. When all you have is the endpoint of someone's learning, it's easy to dismiss it as faultily reached or arising from circumstances different than yours. But it's not their job to convince you, it's your job to listen. Dig in and root out the cause of your disagreement. Without arguing, you can ask a question that would reveal their wrongness. ("If I do what you say, how would I avoid this bad thing from happening?"). You might be surprised by how often their wrongness dissolves before your very eyes. Challenging someone in this way shows respect for their thinking and experience. Open things up by admitting your ignorance.
Another thing that can make listening hard is that it does involve some display of ignorance. That puts ego at stake, even when said display is, you may think, exaggerated. You might hesitate to ask advice from someone you envy, look down on, or want to impress. (I think I'm relatively resistant to these things, but it still happens.) I don’t think your ego is helping you here, even on the level of status and relationships. For various reasons, asking for advice has only seemed to make things better. And in the bigger picture, you are probably deciding on something more important than an instant of pride.
In a way, it should be apparent that listening to advice is hard, because many people end up repeating many of the same mistakes. This suggests that improving at it, even a little, can give you an edge. If something sounds wrong, that's a good thing. Advice that doesn't seem wrong is useless to you, because you already agree with it. And stories can be more useful than the lessons drawn from them. They provide context, and our brains are naturally good at, when it's helpful, turning a story into a lesson. When someone makes a declarative statement, think of it not as true or false, but as true in at least one story. Get the story.