There is substantial research on this topic, all of which indicate that the single most important factor in improving reading comprehension is the actual number of words read; not the lexile level of the content. It is important, I think, that you not read something which is so difficult that it becomes inane; but find something that will hold your attention, and read as often as you can for as long as you can. It isn't going to happen overnight; but with time, patience, and perseverance, you will see your reading comprehension improve considerably. Good luck!
I also think that watching a movie with the subtitles on can help comprehension of the written word alongside the images. It is easy to do this with DVD and after a while you become accustomed to seeing the words as well hearing them.
I strongly encourage students to read with friends. Reading aloud is definitely a skill that can become better with practice. Many students who have difficulty in reading comprehension are actually very verbal/auditory learners. While the above suggestions to practice reading and writing are great, they might be discouraging if you are a very auditory learner.
I do support these ideas, but add one: read a little and talk about it with someone else who has read the same thing. Learn to ask and the right kinds of questions. Read a paragraph and say, "What was that talking about? Did you get it? Let's find some of the main points together."
I also strongly encourage listening to books on CD (or someone else read them aloud) while you follow along in your book.
One tip that has worked for many of my students is to use Post-it notes while reading. This method encourages them to be more active readers which leads to better comprehension. As you read (and, as the other posts have advised, you must be willing to do that to improve), you should have questions that come to mind, when they do, write them down on the sticky notes, and stick the note to the page that elicited the question. Your questions will hopefully be related to why the author describes something in the manner that he does or possibly why a detail, event, character, or word is significant.
One other thing to keep in mind is that if you are having difficulty comprehending short passages while under a time constraint (such as SAT-style excerpts), you need to practice reading short difficult passages. many students have relied for so long on simple summaries of difficult works that they find it nearly impossible to comprehend original literary works.
Like the written summaries suggestion above, I would encourage you to journal as you read. This could be bullet points of information you understand, as well as questions about sections you don't understand. You could make predictions as you read fiction, and then read some more to see if you were on the right track and tuning in to the "clues" like foreshadowing or other structural choices an author made. You could create a running list of unfamiliar vocabulary, and then spend some time looking up words -- especially words that you see that you are encountering multiple times. If you "listen to the voice in your head" as you read that tells you "I just don't get this part" then you can review it again or ask for help. All too often, students who are frustrated just look at the words on the page without slowing down to notice that they aren't actually understanding all the words.
To increase your reading comprehension, practice reading. Start out by reading things that are relatively easy, and move on to more complex books. If you are constantly trying to read books that are too hard, you won't improve and you'll just frustrate yourself. However by reading books of increasing difficulty, you will become a better reader. As the other poster stated, this will take time.
For books you are reading at school, enotes is a valauble tool to increase your comprehension. You should read the summary and character analysis before starting. Then, for a book, read each chapter summary before you read the chapter. Finally, read the other analysis materials that are available for the book. All of this will help you better understand it.
Sadly, I don't think there's anything you can do that doesn't involve hard work and take a long time.
To improve reading comprehension, you have to read a lot (practice makes perfect, right?). In the mean time, to comprehend what you're reading better you might want to write little summaries of each section of a textbook as you read it. That would force you to really think about what you just read and might help you comprehend it better.