Reading the Bible is considered the main way, but there's more to it than that. Many will tell you that Christianity is about a relationship with God. This is what I think, too.How does one go about learning directly from him?
Christian teaching, the mainstream teaching anyway, is that there are three parts to God, Father, Son, and Holy Spirit. Based on scripture, the Holy Spirit is believed to indwell within the believer, a voice of guidance and truth. We believe that He helps us understand scripture and so when we study scripture we are to do so with the Holy Spirit's guidance. He can also speak to us in other ways. Usually it's a very quiet voice, one that's easy to ignore. God has spoken to me through scripture, sometimes through others, sometimes through Christian music (as in, "hey, listen to this, it's true")...sometimes more directly, such as when God brought me back to a full belief in Him after a period of questioning His existence.
People sometimes use that to justify actions, too, ie "God told me to do it". So it's not a good idea to make radical changes in views based on this alone, as the Bible also teaches that spirits exist to lead us astray. We're supposed to back everything up with scripture. If the voice contradicts scripture, it's not God.
I don't feel like I'm explaining this very well....