Knowing what to study is just as important as knowing how to study. As the student, you will already have some indication of the areas where you are strong and the areas which need developing.
This could be as simple as talking with your teacher or tutor. While you might feel overwhelmed and have the feeling that you should be learning everything, learning everything at once is impossible.
Language learning is a holistic process that involves the senses of listing, reading, writing and speaking.
Reviewing all lecture notes (the ones you made and the ones you were given) is the first step, re-reading or doing the required and recommended readings is also essential.