How can I improve my French listening skills?

One thing that helped me a lot is reading along while listening to something. I found that while I could understand most of what was written, I didn't have enough practice hearing what it actually sounded like from a native speaker at full speed. I watched French movies with subtitles in French, making sure I was actively listening for each word I read. You can also get an audio book and read at the same time. After some practice at that, alternate reading/listening with just listening. This will help your active listening skills.