Ask them to speak a little more slowly and/or repeat themselves. ("Más despacio, por favor?" "Otra vez?" [again?]) It's hard to understand native speakers speaking at a normal casual pace because it's normal for native speakers of a language to speak quickly (since they're used to the language) and slur things together (like how an English speaker could say "Hey, hayadoin'?").

If you're having trouble with pronouncing words, listen to Spanish more often and you'll get used to the sounds of certain words. Listen to Spanish language music, TV, and video clips. With Spanish language TV, put on the closed captioning and that should help a lot. Listen to the audio clips there are when you look up a word on this site. For music, go onto YouTube and type in "con letras" (with lyrics) so you can hear Spanish language music with the words right in front of you. I like LoMasTV, also, which teaches you Spanish with subtitled and translated videoclips (but you do have to pay). Try Spanish language stations on Pandora (free internet radio) too, like their Latin station, or search for Bachata (a genre).

A= usually pronounced like "ahh"

E= usually pronounced like in "hey"

I= usually pronounced like in "this" or "these"

O= as in "oh"

U= as in "ooh"