A chord is a stack of thirds, and a progression is a path through chords in a key. Build any chord on a keyboard and a staff, listen to it as a block or an arpeggio, and then string chords together with Roman numerals, hear the four cadences, and watch how the voices move from one chord to the next. A chromagram at the bottom shows the pitch-class energy of what is sounding, and a key estimate guesses the key from the chords you have played.
Things to try: play the four triads on C one after the other and hear the difference between major, minor, diminished, and augmented. Set a progression that ends on vi instead of I and notice the deceptive cadence. Switch voice leading off and listen to the leaps. Build C13 and change the quality down through C11, C9, and C7 to hear each added third disappear until the plain dominant seventh is back.