When actively listening, show the other person that you are engaged by paraphrasing their message and repeating it back. You can say something like: "So, it sounds like what you're saying is..."
Ask follow-up questions. You don't want to get inappropriate or too personal, but continue asking the person questions or their opinions.
Show the person you are listening by nodding, making good eye contact, an making sounds or saying words that affirm you are listening (like "Uh-huh" or "Sure").