I usually try to read any text that I am listening to. If I listen first and there are words and phrases I don't understand, and there usually are, I hope to find out what they mean when I read the text. Usually these words are either unknown (blue) or words that I have met before and are yellow because I still don't know them. They may even be words that I have considered known and now don't know or at least didn't recognize. If there are a lot of these unknown words I will listen again, and usually I still don't recognize these words, even after having looked them up. I might review the vocabulary again, go through the lesson in sentence mode again, and then try listening again, and slowly I will recognize more of these words. If I am more advanced in the language there are fewer unknown words so I don't worry about them, expecting to come across them again if they are important. I usually try to access a transcript. In any case, my listening doesn't stop. Keep listening, keep reading and trust the process and your brain's ability to gradually learn more and more words. Cheers.

I'm not Steve, but I feel free to give my reaction. I recognize the problem. What you could do is immediately stop the audio, try to remember, and after remembering or looking up in a dictionary, let the audio begin again a few seconds earlier.