I have the answer! Or at least Deborah Tannen does. She proposed a series of linguistic theories concerning how men and women communicate, and the gist of it is that men deal with facts and concrete objects while women talk about emotions and feelings. It sounds complicated but it's really not.
For example: take a scenario where a woman feels ill. She tells her partner this and when he hands her some painkillers and calls the doctor out, she complains that he is not being very understanding, when all he has tried to do is help. The answer? All she wanted was a hug.
Men always look for ways to solve problems, whereas if you listen to women talking about their personal issues, the air is filled with "mmm"s and "aah"s and nodding and overlapping each other's conversation with "yeah"s and the like. On the rare occasions men open up to each other, they all interrupt each other and tell their friends exactly where they're going wrong and they all want practical advice. So it's no wonder the sexes get frustrated when talking to each other.
What your girlfriend wants is for you to show her you're listening by reacting in the way another girl would, not how a bloke would. If you are prone to saying things like "Well what you need to do is this..." when she talks to you about her problems, bite your tongue (not literally) and instead try something like "That must feel horrible." And if she wants you to be more serious, take a look at how you react when she tells you something intensely personal that makes you feel uncomfortable. If your natural instinct is to "lighten the mood" with a silly joke, stop yourself as this makes her feel you aren't taking her seriously. Try putting your arms round her instead so that you are looking over her shoulder rather than into her face and wait til you feel less awkward/have thought of something suitably sensitive to say.
Alternatively, none of that may be relevant to you and you could just try the old classics like flowers, cooking for her, massaging her feet, surprising her with ridiculous fluffy toys etc.