Picture learning a new language as building a house from scratch. You can't wait to handle the design, buy the furniture or decorate the rooms, but first you need to go through the hard process of actually raising it from the ground. The vocabulary of a language is both its foundation and it contains the words that you will have to use as "bricks" when building it and although it's not crucial to have a huge amount of bricks, the more you have the bigger the house, hence the higher the comfort. Actually, taking the discussion back to the linguistic field, studies have shown that we only need 100 or so "core words" from a language's vocabulary in order to be able to handle basic communication. But that's comparable to having a single room apartment, when you might need a 2 story villa, so we need to see how we can improve the number of bricks we can use :).

I'm presuming you already have a relatively solid grasp of the basic vocabulary of the language you're trying to enhance, or we wouldn't be talking about "improving" one's vocabulary but rather on how to learn it from scratch. If you've learnt the language from a course book or with the help of some online lessons, you probably have a limited amount of basic words, since these courses focus on a little bit of everything, including spelling, grammar, pronunciation and so forth, leaving little room to concentrate strictly on your vocabulary.

Reading and listening are two of the most important ways of increasing your vocabulary in a specific language. Whenever you have the chance to listen to someone speaking that language, or if you get your hands on some article written in it, make sure you do your best to understand it, focusing on the words that you don't know. If you can't "guess" them out of the context, have a dictionary near you to help you out with these new words. Especially if you're reading instead of listening, make sure you get the pronunciation right for the new words (dictionaries usually offer the pronunciation of the word besides its translation).

Another good way to increase your vocabulary is to engage in interactive activities in that particular foreign language. Educational games can be a fun way of expanding your word pool as well as playing a computer game in that language, trying to relate what's happening on the screen with what you're reading/hearing in case you stumble on some new words.

Last but not least, you could practice what language courses call the "A new word each day" game. Make it a habit to look up a new word in the dictionary each day and memorize it. Of course, you shouldn't stop at rare, practically useless words; instead, focus on commonly used words that are new to you, words that you actually have the chance of using in day-to-day conversation. If you combine this method with other vocabulary improvement ones, the daily amount of new words will probably be high enough to make it count, but small enough to not overload your memory with stuff that you are just going to forget the next day.