It’s not the giver’s role to say what you want to hear, but offer you a different perspective other than your own.
During
It requires you as the listener to fully concentrate, understand, and then remember what is being said.
Eye contact, nodding your head, and saying small things like "I see", "I hear you", "Yep", or even "Hmm" are indicators that you are following the conversation.
Try to absorb, understand, and reflect upon it. Sometimes, after a while, something that didn’t make sense then, makes sense now. Take your time!
One of the key goals of receiving feedback is to become aware of something you didn’t notice by yourself because of your own blind spots.
You may be surprised, but don’t be reactive.
You may not have asked for it, but still may be useful.
Even if you realize it doesn’t make sense to you, you still got the opportunity to consider something otherwise you probably wouldn’t have thought about.
After
You are not bound to act on every feedback you get. You are allowed to drop it if it doesn’t make sense for you.
Don’t try to tackle everything at once, nobody expects you to be perfect.