Read through notes, make better notes (if the ones produced are bad) read up subjects in your reading list, etc
If you've honestly no ideas on where to begin, there are lots of study guides at bookshops you can buy which will help you massive amounts potentially. At our university we were all given 'The Study Skills Handbook' on day 1 which is quite useful from time to time.
It's not that hard. File notes on lectures, read the books from the reading list and make notes from them. Get an idea of what the topic is about, get arguments and evidence. Write essays.
Check with your uni, there is a good chance that they will hold workshops on this.
Basically though, go home, look at the notes you made during the lecture and look up anything you want to expand on or did not completely understand. Do any required reading that your lecturer has set out.
When in lectures listen out for clues like "this is important" and put a huge star beside it, then read up more on that kinda thing. They give hints as to what can/will be in the exam (one of our lecturers puts everything in the notes in yellow that we may need for the exam - aint that nice?!).