The best way to learn a new language is by being around speakers of the particular language you wish to learn. This may not be possible, so you could take a course in that language. You could also teach yourself a few new words each day and review them all every day. You could try practicing with someone who knows the language to get the correct grammar, accent, tone, etc. You could also buy or borrow books and tapes of the language. Practice the things you've learned by reading, writing, speaking, and listening to that language.
You don't have to go to the country where the language is spoken, you can make the language come to you. Start watching TV shows, listening to music, reading books in your target language Look up words in the dictionary (preferably electronic, with example sentences,as not all words translate into English).
The BEST way to learn any new language is, of course, immersion or living where the language is spoken. That not always being possible, or university level study courses affordable, you can try your own version of immersion. Go to the nearest college or university that teaches the language you wish to learn; go to their bookstore and purchase the tapes, books, and workbooks for their classes on your target language. The tapes are important because hearing the spoken language improves your comprehension of it. Use the tools to study the language on your own.
Other possibilities: Look into social groups of others people who are also studying the language or, conversely, the native speaker who is trying to learn your native language. There are frequently such groups that gather at coffee shops, bookstores, etc. to meet and practice their language abilities.
If you live in a larger, cosmopolitan setting, look for a pocket of first language speakers of the language within your community.
Lastly, go online and find a 'pen pal' exchange with someone from the country whose language you are trying to learn.
Each of these things is a vital part of completely learning any second language. First you must learn the words of the language; then you need to be able to write and read the language; finally you must be able to hear, recognize, and understand what you are hearing
An excellent tool, I have found, is to make flash cards (they need not be any larger than a business card) with words from the language on them. Say you speak English and are trying to learn Spanish... on one side of a card you might write "Ventana". On the flip side, you write the English translation - "window".
With a language such as Russian where you are dealing with a foreign alphabet as well, you need to first learn the alphabet. then you may write both the alphabetic spelling of the word (in this case Cyrillic) and the phonetic pronunciation of the word on one side of the card with the English translation on the flip side. Once you are comfortable with the alphabet (and this won't take long), you may find you need to make a new set of cards without the phonetics on them. I have found that it ishelpful to put verbs in one color; nouns in another; numbers, months, days of the week, etc. in yet another color; etc. Also, it is important to physically write these cards out yourself and not use a computer or the help of another person. The physical act of making these cards can help in the learning process as well.
As a final note: Don't allow yourself to get too stressed out if you do not feel like you are progressing as quickly as you would like. Remember, it took several years to learn your first language, so cut yourself a little slack in learning a second one!
Robin