How to improve my capacity to follow my advisor's instructions during research?
I've found that taking notes, even point form, is really helpful.

Even if you were good at understanding oral instructions, taking meeting notes would be useful.

They let you go back to things you didn't have much time to think about at the time later on.

You could also email your supervisor a summary of your understanding of the meeting and your plans until the next meeting, so that he has a chance to correct/clarify in writing any misunderstandings, or refocus your priorities.

As for the problem of connecting oral instructions, you should take every opportunity to confirm your understanding of the main points discussed so far in the meeting. Rephrase what you just heard back to your supervisor. If there is a definition you don't know, either ask right away, or jot down the word to ask about later.