Choose a classical piece to listen to. It can be any piece by any composer, or you may want to do some research to find a piece that fits your particular mood or intentions.
Disengage. Turn off your cell phone and television. Close the door, if you can. Find a comfortable chair (preferably not a bed or sofa, which might tempt you to sleep) and minimize the distractions.
Read the liner notes, if available. Know a little bit about the music before you start: who wrote it, why he or she wrote it and when it was written. While none of these things are strictly necessary for the enjoyment of a piece of classical music, it often helps to put the piece in context.
Silence yourself for just a minute. Prepare internally. Again, classical music isn't meant to be heard, it's meant to be listened to. Concentrate.
When you're ready, play the music. Try to follow the composer's line of thought as the piece unfolds. Usually, the composer will set out a particular theme, develop it through a series of variations or by introducing a contrasting theme, then bring it all together in the conclusion.
Don't try to impose a storyline on the music. Sometimes there is a storyline--the liner notes will tell you if there is--but usually it's what's known as "absolute music," meaning that it's music that simply exists for the sake of the music.
When the music is over, turn off the player and absorb the silence. Let the music wash away. Move when you're ready, and respond in whatever way seems appropriate. Some people journal; some listen to the piece again. Some wait to read the liner notes until after they've heard the piece; some get up and go to work. Again, there is no right or wrong way to respond.