This is a difficult thing for many students to understand, because in school we are often taught (sometimes unintentionally, sometimes not), that learning is meant to be a passive experience. We sit still and listen to the teacher, then regurgitate what we've been told. We memorize information for a test, then forget it a few weeks later. Schools are often not structured to allow for true mastery of any particular skill, and much of the information they teach is irrelevant enough in day-to-day life that students don't bother mastering anything it on their own. They've never learned to take control of their own learning process, or what are the steps towards the deep learning mastery takes.
It's very tricky to get students out of this mindset. I've tried many different approaches. First, I try to have students repeat back instructions in their own words. This tells me if they understand what I'm saying, but more importantly, I hope that it teaches them to be their own teacher. After all, that's part of our goal--to get students to recognize and fix their own mistakes when they practice, instead of relying on a teacher to hold their hand.
Next, I try to focus on "process" instructions, instead of basic corrections. I want my students to have a "routine" to run when they make a mistake. If they hear a wrong note, for example, what steps do they need to take to fix it? Each technique might require a different set of steps, but once they know the routine they can fix problems on their own. When students are playing wrong notes, my first step is to have them sing the note names. Subsequent steps might be playing very slowly or playing pizzicato.
It's important that students take active control of their practicing. I tell them that they should feel like their brain is really working the entire time that they are playing. If they lose focus, it's time to try a variation or find a different approach that keeps them on task.