Until now, i could not recognize what the chord or scale that are using from the song I've heard.

I'm aware that i should train my ear.

But the question is how to start it?

I'm very appreciated if anyone could give me some advises or exercises about it.
Download Auralia.
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never really thought about it but to me it just came with time.
for example when ever i here people play a certain chord(a D chord for example)
I know most of the time its a d chord right away or i can usually tell what tuning
most bands are in or key they are using.
just keep playing and it just happens.
that and take everyone elses advice that will actually help.
I have a 3-way approach to ear training. I do all this stuff but not all three at a time. I rotate in and out of each for a while I guess.

1) Learn to identify stand-alone intervals and chords (melodic and harmonic). That is, learn to identify them by themselves with no reference point or no tonal center. For example if I play 2 random notes for you... you can tell me what the interval is just from memory. Not the exact note names, just the distance between them.
A great site for that is http://www.learn2hear.org/ and I'm sure there's many others.

2) Do ear training in the context of a key or tonal center. This is similar to #1 obviously but it's more geared toward recognizing scale degrees and chord progressions. In this case, knowing the tonal center... you should be able to name notes.
There's some excellent free software you can download call "functional ear trainer". both basic and advanced version. I've used them both. (google it).

3) Apply your ear skills to directly guitar playing. Spend some time doing what I call "sing/play" (creative I know lol).
Basically think of a musical phrase - no matter how simple - and then sing it and play it simultaneously. If you mess up, start that phrase over - when you finish that phrase.... think another one and just keep going.

The act of mentally forming a bit of music... and then singing it out loud, while you simultaneously watch and feel your hands make it come out of the guitar... it's a very VERY powerful training and re-inforcement technique.
hope this helped.
Don't use tabs, learn everything by ear (there is some software that can help you, transcribe!, this piece of software can slow every song down without changing the pitch, so its easy to transcribe fast songs)

also, record yourself playing some chords (start with a small amount) and then a day or 2 later play your recording and try to identify those chords (play the chord, pauze, look for it on your guitar)

This sh*t takes time but after a year or 2, its very easy and natural for most people.

Do NOT use tabs...
can you learn to play by ear without knowing any music theory? i presume it would just be harder right?
david lucas burge has an expensive masterclass set for relative pitch and for perfect pitch. though i have never had the patience to sit down and do all of the training, i'm pretty confident that they do/will work if you stick with it. he has a lot of extreme exercises to work on right out from the start...
for relative pitch, he has you go through and play just perfect 5th and sing them both above and below and then he tests you on them. then it goes to 4th and so on and so forth.. but you can only graduate to the next interval after you pass his tests.. so it forces you to practice systematically
perfect pitch gets pretty crazy from the start.. stuff like playing 3 random notes and being able to separate and vocalize each pitch.. go ahead.. play a C, C# and Ab (2 octaves higher) and see if you can sing each note.. it's freakin hard

again, i never finished, but i do have a decent ear, if you have the discipline to stick with it, i definitely recommend it.. you ear can only get better with that kind of practice
Before you decide that your aural skill is the problem, make sure that your music theory and fretboard knowledge are not limiting you as well.

Having a great ear doesn't mean much if you don't know music theory and fretboard knowledge. The opposite is true, know music theory doesn't mean much if your aural skill sucks, and so on.
Balance the 3 : Music theory, fretboard knowledge and aural skill.
and INTEGRATE the 3 of them!
1. You learn about interval Major third (music theory), you must know how it sounds (aural skill)
and you must know how to play it on fret board (fretboard knowledge)
2. You learn about diminished scale (music theory), get familiar with the sound until you can recognized it when it's played (aural skill) and learn to play it on the fretboard

As how to start learning it:
1. you can get software like auralia or earmaster or etc. But make sure you as you learn from these software, you can integrate it with your music theory (know what it is) and fretboard knowledge (where to play it on the fretboard)
2. Try this simple exercise: sing 3-4 notes and play it on fretboard. Gradually increase the number of notes. And gradually decrease the processing time to get it played on your guitar.
3. Learn to sing solfege. then learn to sing on intervals (from do to mi, do to fa, do to sol)
4. Learn a song by ear WITHOUT guitar. This is advanced.

Hope it helps