How to practice ear training
Increase practice frequency, not duration. Who would improve faster: Stu, who practices once a week for 4 hours straight, or Merle, who practices every day for 20 minutes? I'd bet on Merle, even though Stu spends almost twice as much time practicing. This is because, after you've spent time practicing something, your brain continues to work on it and make new neural connections in the background, even while sleeping (especially while sleeping!). For this reason, I recommend bookmarking your favorite exercises and doing them every day for a set amount of time.
Start simple and gradually increase difficulty. Who would improve faster: Stu, who jumps straight to the hardest difficulty on the chord progressions exercise, or Merle, who starts with just short progressions involving the I, IV, and V chords, then adds one more chord (first the rest of the triads, then sevenths) whenever his accuracy is above 90% for three days in a row? Again, my money's on Merle. Practice should be challenging, but not so challenging that you're overwhelmed.
Track your progress. Keep a notebook, text file, or even spreadsheet tracking your progress. This lets you know for sure whether you're improving. If you can see your improvement, this will encourage you to keep going. It can also help you notice when you're plateauing so that you can look for the cause. Are you not practicing often enough? Did you increase difficulty too quickly?
Sing scales and intervals. The exercises on this site all involve identifying notes rather than generating them, but that doesn't mean you shouldn't sing along with them. This helps to internalize the pitches. It is especially useful for the scale degrees exercise (also known as "functional ear training"). Try singing up from the root note to any given scale degree and down from a scale degree to the root note. The "hear descending to root" and "hear ascending to root" buttons on that exercise let you verify what you sang.
Transcribe music with your instrument. Pick your favorite songs and figure them out on your instrument. You can start with the melody and then try to figure out the chords, or you can start with the chords and then try to figure out the melody. Practice both ways.