Listen to the word by clicking the "Hear" link to the left. (How exactly you hear the sound depends on your browser. Often your browser will start up an outside sound-playing program, which you may have to close yourself when you're done, unless you want your desktop cluttered with dozens of sound-players. Sometimes the sound-player will appear in the frame below.)
Decide whether the word contains [θ] or [ð].
Check your answer by clicking the "See answer" link. The answer will be shown here. (If you want to keep track of how many you've got right, you'll have to do that yourself.) Listen some more to the word, if you want.
Click "Try another word" to move on to a new randomly chosen word. Repeat.
When you're sick of all this, escape with the "Back to exercises" link.