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Step 1
If you want to watch a documentary, pick a film that has one of those "I've always wanted to know about...." themes. Find a topic that you've always wanted to learn more about, and never have. Your interest in the topic will keep you motivated to finish the film.
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Step 2
If you have a depressing sounding documentary you want to watch, view it in private. Nothing is worse than having a peanut gallery while you are trying to watch a serious movie. Find a couple of hours where you can devote your full attention to viewing the movie.
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Step 3
Research the film after you have finished viewing it. Look at the movie's wikipedia entry, and the reviews on http://www.rottentomatoes.com/. Your research should tell you what other people thought about the movie and how their opinions differed from yours. Well written reviews will give you a greater appreciation of your understanding of the movie.
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Step 4
Watch more documentaries, or at least realize what is a documentary and what isn't. You may be watching unscripted reality shows that are actually documentaries on a daily basis. Documentaries are more common and more entertaining than most people think.
