The Koch Method is the very best way to learn the code in my opinion.
It is so simple as far as procedure goes that it almost seems that it wouldn't work!
As everyone says, you start out by listening and practicing with just 2 letters, and when you can copy them correctly 90% of the time, add another letter to the mix.
When you can copy those 3 90% of the time, add another letter, etc.
It is the fastest and the best!
Listening to W1AW is a real confidence builder too. A cheap and effective receiver from Ten-Tec can do the job nicely.
As mentioned, the G4FON Koch trainer software is just great. Also, the freeware from Gab Riviat F6DQM is just dandy too. Cw_Player.Zip....http://perso.club-internet.fr/f1orl/programe.htm
Version 2.7 is what you're looking for, and it can be used in English, French, German or Italian.