One of the best things you can do to improve your ear is to sing. Your voice forms an important link between your instrument and the music you hear in your mind. When you can accurately sing intervals and chords, you will have a much easier time identifying them by ear.
The first step is to match pitch - that is, to accurately match with your voice different notes played on your instrument. If you're not used to singing and you've never done this before, take a few minutes to record yourself as you first play a note on your instrument and then try to match your voice to it. If you're off at first, slide up or down until you have the note.
Now try this exercise again, but this time pause after playing the note on your instrument and first try to hear it in your mind. Match the pitch mentally before singing it. Then see if you can sing it right on pitch without having to slide up or down. Keep doing this with notes that are in your vocal range - Don't worry about notes that are too low or too high for you to sing comfortably.
Once you can quickly and accurately match pitch with the notes in your vocal range, move your fingers to a different note on your instrument. First hear it and sing it mentally, then sing it out loud, without playing. Finally, play the note and see if you sung it right.
When you hear someone sing who is considered 'tone deaf' - someone who is unable to sing even short, simple phrases in tune - it is often the case that this person has never been taught or taken the time to learn how to match pitch. When they hear a note, they are not able to reproduce it with their voice.
Take some time to master this essential first step in ear training - sing along with a few notes on your instrument before you start practicing. Also, while playing some of the melody games on Theta Music Trainer - especially Paddle Pitch or Melodic Drops, try singing the tones and intervals as soon as you hear them.
You'll find that you're able to recognize these tones by ear much more quickly and accurately, and this in turn will lay the foundation for more advanced ear training.