If you're new to classical music you really don't need to worry about this. Almost all available professional recordings are of high quality, and the differences between interpretations are relatively subtle.
What is important is to get a sense of which composers you enjoy. Classical music spans a large period of time with very different styles, so try a few well-known composers from different time periods to see what you like. I greatly enjoy classical music and I regularly attend(ed) concerts, but my interests are very narrow and I don't get a lot of enjoyment out of Mozart and Beethoven for instance.
In my opinion, classical music is best enjoyed when you devote your full attention to listening to the music, i.e. when you're not doing anything else (or something with a very low cognitive load, like walking/driving/etc). Focus on how the music makes you feel, but it's okay to let your thoughts wander off a bit.