There are several software programs on the market designed to train your ear to hear chord and scale intervals, harmonic progressions, and even learn to recognize and name notes. Two of the best are Ear Master and Solfege. These programs will allow you to train your ear interactively and grade yourself along the way. If you don't have the money to spend, Solfege is absolutely free, so there's no reason not to give this method a try. Both programs present the exercises you will need to exercise and sharpen your musical ear.
The Internet is full of resources to help you train your ear. Vocalist.org offers numerous articles and exercises to help you train your musical ear. The advice and exercises offered are free and effective. Everything is arranged in an easy-to-follow format.
Trainear.com is an interactive website offering ear training tools you can use to sharpen your ability to recognize music notes and intervals by comparing them immediately to famous reference songs. This website is free as well.
The "Perfect Pitch" system is an eight-CD set that teaches you to hear music by recognizing the colors of the musical tones. Another course, which costs quite a bit less, is the audio course at ReallyLearnGuitar.com. They offer a 90-minute audio course you can download immediately. The course helps train your ear to hear whole and half steps, to recognize all the major scales, and to identify chord notes separately or all together. Both course are well organized and effective, but the methods vary in approach. If you feel more comfortable thinking in terms of color comparison, the "Perfect Pitch" course is worth the money.
Any of the tutorials here will effectively improve your ability to hear and recognize any type of music. To get the most out of the method you choose, you will need to adhere to a strict plan of practice and take advantage of the tutorials offered. You won't learn to recognize music notes in a day. Some progress quicker than others, but in most cases, obtaining anything near perfect pitch can take years to develop. By using one or more of these methods and maintaining a regular practice schedule, you can see improvements in your relative pitch in as little as a few days.