Purchase an annotated copy of the work you're studying. The notes help define the language and references for first-time Shakespeare readers.
Read the play, poem or sonnet once through noting any words or phrases you don't understand. During this reading, focus on the personality of the characters and the general plot events. Use a dictionary to look up any words you don't know or that are not referenced in annotations.
Pick up a quality plot synopsis tool such as Charles Boyce's "Shakespeare A to Z". This is not a substitute for the work itself, but an aid to understanding some of the difficult language and plot elements you may have missed in the first reading. Boyce's work includes passages from the works and scene-by-scene summaries.
Watch a live version if you are studying a play and read along with the actors. The BBC (British Broadcasting Corporation) has an entire series of Shakespearean productions that can be found in most libraries. The action helps convey meaning and gives a better, more rounded view of the work as a whole.
Reread the work again and focus on the larger themes presented. Decipher the key events, subplots and characters in order to develop an analysis that represents your view of the work and what it means in a broader, literary sense.