When the Adhan is called we should leave everything and listen to it calmly. We should then recite this dua. 

Prophet Muhammad (PBUH) said “whoever recites this dua after hearing the adhan will deserve my intercession.” 

Allahumma Rabba hadhihidda‘watit-tammati wassalatil qa’imati, ati Muhammada-nil-wasilata wal-fadilata waddarajatar-rafi‘ata, wab‘ath-hu maqamam-mahmuda-nilladhi wa’attahu. Innaka la tukhliful mi‘ad. (Bukhari, Kitabul-Adhan)

O Allah, Lord of this Perfect Call, and of the Congregational Prayer, make Muhammad a means of our access to You, and bless him with excellence andtheloftyoffice,andgranthimthemostexalted station Thou hast promised him. Verily, Thou goest not back on Thy promise.