DO: work through each example problem with pencil and paper. Once you've done this for a given problem, write down the statement of that problem, close the book, and see if you can work the problem by yourself. Use the book's solution as a guide, should you run into trouble. Repeat until you succeed, then move on to the next example. Only after you've worked through all the examples in this way should you tackle the homework problems.
DO: make it a point to attend every class. Try to get to class early so that you can get a good seat. Use the extra time to review your notes, to formulate questions for the instructor about problems you are having with the day's assignment, or to preview the next assignment.
DON'T: waste the valuable minutes before class reading the newspaper (your instructor notices this kind of behavior, you know).
DON'T: sit with your friends; you'll only distract each other. There'll be plenty of opportunities to meet with them outside of class.
on how to study mathematics, how to approach problem-solving, how to study for and take tests, ... . There are some good ideas in the sites below, but not all of them are for everyone; it's up to you to decide which ones work best for you.
Success in Math
from St. Louis University
How to succeed in your math class
from coolmath.com
(other math links available from this site)