Problems understanding and remembering

I can’t understand what the teacher says in class, when I’m watching a movie or when someone talks to me, and when I try to remember my head is empty. Are there techniques for this problem?

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Often I do not understand the content of movies and I need to ask someone else…

As a teacher, if the class is not too big, I like students to interrupt me and ask, otherwise I waste my time talking and they waste their time listening to something they do not understand.
I like when they ask questions at the end of the class, because they show interest, and they are actively trying to understand.