Lecturers value curiosity and the first step in being curious is to ask questions.
Look at what the topic will be of the lecture; think about what you already know about the topic. Do a bit of reading on this topic, look at any material that may have been provided as pre-lecture reading, ask yourself questions about the material.
When listing to a lecture, always make notes as you listen. This helps you to engage with the material and recall information as it is presented to you.
After a lecture look back at your notes. Build up these notes and expand with extra reading and further understanding. Think about what you might like to know more about or if there are sections which you might not fully understand, so need to do some more reading.
Lectures are a starting point for learning. It is up to you to continue researching the subject and building up your knowledge base.