That's really up to your institute and you. A good resource will be the handbook for your programme - see this 2012 Oxford Brookes handbook as an example. See if you can get this document in advance of your arrival; if not, ask for the previous year's edition.

From my own experience historical studies are what you make of them. When choosing my projects, what I tended to do was, in lectures or my individual study, write down 'potential questions' in my notes and mark them with a highlighter. Be sure to take advantage of all your resources; talk to your tutors, to other students, you'll have a blast.

As a French student who chose Political Sciences over History but who tried to learn about history studies mostly speaking with professors and history students, what surprised me the most was how much mathematics and statistics it includes. History students spend a lot of time learning methods, how to aggregate data and especially what to do with it (as in, how to classify it, etc.).

Beyond that specific point though, most of their classes would be either lectures drawing the general picture about a broad subject (e.g. the Hundred Years War) and tutorials focusing on much, much more specific topic (e.g. a population census from 13xx being used for creating a new tax), linking both being often puzzling.
They also work a lot on primary sources.

Not sure that I successfully managed to convey my French words with my ropy English, so sorry for that. Also, probably won't help you that much as what I said may apply only for French history studies and US colleges may teach it in a completely different way, but I thought that would be interesting enough to be shared. :p

ALWAYS BEGIN WITH A TIMELINE. Wikipedia is actually great for this, as it is raw data. We put too much emphasis on theme and ideas - these ultimately have to be grounded in facts. You can talk about German unification as theory all you'd like, but you'll never make the connection to larger shifts if you don't also know that Canada was confederated in 1867 and Italy 1871. Victoria would be named Empress of India in 1877. Suddenly, you have context. Once you build a web of solid facts, you'll find that things quickly get stuck in that web and history becomes a lot easier.

Find a few histories that are both meticulous and fun to read and take the time to read them slowly and at leisure. I am a fan of Richard Holmes' work on the history of Science. You'll eventually absorb a lot of a great author's flow and structure, improving your own writing.

It's difficult to find a direct application, that being said, if you were going to go and take a graduate degree in something a bit more employable (M.P.A, M.B.A.,) it's good to have a base in something beyond management jargon and half-baked theories. History, if done correctly, provides you with a sense of context and balance. It does in my job, anyhow.

Former history gta here. If you're asking how to study in your history classes, just take diligent notes and read the assigned texts. From my experience, the tests are going to require an essay to be written. Never be afraid to visit the professor during his/her office hours if you have questions. They are there to help!!! If you aren't considering getting a phd in history, I highly recommend not getting a ba in history. There isn't a market out there for history majors.