Just looking at the Intervals module you can see there is lots of ground to cover. There are 11 different intervals, each of which might be played ascending or descending. Furthermore, you can play them one note at a time ( melodically ) or together ( harmonically ). Thats a lot of combinations. Where do you start?
A good place to start is identifying major third and minor third intervals. But before trying to identify them, how about just singing them! From the File menu choose Load Problem Set and select Thirds. Now the intervals module is set to play only major and minor thirds. Select the 'melodic' setting to have the intervals played one note at a time. To make it even easier, go to the Settings menu and select Play Ascending; this makes BigEars always play from low to high. Ready. Now press NEXT to hear an interval. Don't worry about identifying it---just try to SING it back! You'll probably want to set the tempo to be nice and slow too. Use REPLAY to practice the same interval over and over.*
OK so how to you put a sound with a name? The best way is to connect it with something you've heard before. The childrens song "Lullaby and Goodnight" starts with an interval of a minor third. So if you've heard that song while growing up now you can connect those opening notes with the minor third. The minor pentatonic or blues scale starts with an interval of a minor third. If you don't know that scale you better learn it TODAY.
What about a major third? Some door bells play a descending major third: ding-dong. Also, the song "Three Blind Mice" starts with three notes that OUTLINE a major third ( the first 3 notes of the major scale played backwards, eg: E D C ). From E to C is a descending major third.
Great ear training resources can be found at jazzbooks.com. Even if you're not a jazz musician you should check it out! Go to http://www.jazzbooks.com/miva/jazz_handbook.htm right now and download the Interval Chart. It will help you identify intervals when you hear them by associating them with melodies you already know.
*Obviously you could sit at a piano or guitar and do these same kinds of drills by playing thirds on the instrument and singing along with it---and that is encouraged.