I assume that you are talking about figuring out the chords, by ear, to a recording. it can be hard, sometimes, and there are some songs that you won't be able to figure out--given that, here are a couple of tips--

Count out the measures, and write the changes out, count for count, measure for measure, section for section--this way, you'll know which measures you know and which you need to find chords for--(This isn't that hard, since most melodies are no more than twelve or sixteen meaures long)

Learn to play the melody, note for note, at least for the measures that you are not sure of--and try each chord that each melody note is in until you find the right one--There aren't that many chords that any given note occurs in, so this isn't really that hard (remember that chord changes usually happen only on the first or first and third counts of each measure, so if an odd note occurs on the 2nd or 4th count, it should fit with the chord of either the count before it, or the count after it)

Remember that melodies usually start out on the tonic chord, move to the dominant, and then back to the tonic. When in doubt, try the dominant--also, as someone pointed out above, find the bass note--it is generally a pretty fair indicator of the chord--