Usually you'll get lecture notes which will cover what you need to know for that module, although for some subjects it may be less as you need to learn around and in others you'll get taught more than you need in order to give you context of why you're learning it.
Lectures differ from classes as you are really just being read to and there's not nearly as much interaction, you will have seminars/tutorials/labs which are more interactive though.
You'll have libraries and study spaces to go to, guest lectures or society lectures too if you want to learn above and beyond.
You can ask the lecturer questions, most will accept them in a lecture if you don't understand something at the time it's being talked about (although don't do this too much as you could get a reputation), you can also ask them after the lecture is done, email them or go to their office hours. If you have a seminar or tutorial this would be this best time to ask however as these are the designated slots for you to ask questions, although they aren't necessarily lead by a lecturer hence why I'm mentioning them separately. Note that this doesn't apply to labs, you should be near fluent in the theory at least if you are going into a lab unless specifically told otherwise.