As a foreign student, you'll discover how crucial the first week is. On your first day you will discover how different the English that you've been taught in schools or courses can be from what people actually speak here. It's important therefore that you get to know how to handle a language that is not the one you've learnt, nor the one you've been speaking since childhood. Personally my experience was quite frustrating, having studied English so hard and then finding myself in difficulty was something really unexpected. Anxiety followed shortly after, but then I came out on top—never give in to depression; this environment is full of people who are there to help, and that's the first thing I've learnt.
Spoken British-English is, first of all, faster than what I was used to, and people speak —like in every language— through patterns and well known sequences of words which they can understand after hearing only half of it. What a foreign student needs is well-spoken words—and slang really doesn't help either. One thing that can be of help is to ask people to repeat, but that's no use if the person in front of you thinks that you didn't hear properly, so make sure you ask for them to repeat slowly and, before moving to a new topic, make sure all the words are clear to you (even if you have to ask for their meaning—the politeness of British people is well known so don't be afraid to ask). This is really important to bear in mind as you become a greater part of the University environment. There are important things you'll be asked to do, handling bureaucracy, formal telephone calls etc. Make sure you understand everything that is asked of you, you don't want to find yourself in trouble due to misunderstanding.
A fundamental tool you'll make big use of are the conversations with your course-mates and colleagues. You might be tempted to stick with people speaking your language, but that won't help you when venturing into the pile of forms you'll have to fill in, or in dealing with a clerk in a shop, so use every little moment you can have with British people in order to improve your understanding and your spoken English skills. Sharing experiences with your English mates, as well as with any other foreigner, is a great experience too: it allows you to open up your views and get to know other cultures, ways of living and traditions. With a bit of effort, soon you'll be able to reach the highest level of self confidence and be able to make yourself understood with almost no effort—believe me, that's a great boost. After all, in my opinion foreign students are here for four purposes: to get a qualification, to get a better knowledge of the English language, to make themselves more appealing on the job market when they go back home, and of course to see how other cultures work.
However, one thing you'll learn quickly is that the university environment is pretty much heaven compared to what you can find elsewhere. People here are quite used to the presence of foreigners and behave accordingly, but in town the situation might be completely different. Hanging around with your friends speaking your language might be a good start, but take the chance to venture into different places with native speakers. You'll value the experience of contact with somebody in different cultural environment, and it's an excellent opportunity to practice understanding a native speaker! That British politeness still applies though, so no need to worry about offending people if you ask them to slow down, or repeat themselves.
Over all then, remember this: be respectful to people and they'll return that respect. Take active steps to integrating yourself with a multicultural environment; it's one of most positive things you get from going abroad. Oh, and I almost forgot... don't worry about the headaches, they'll go away after the first week or so. I'm not trying to scare you though, once you get used to the language it will open up the door to so many fantastic new experiences, friends and memories. Living in a multi-cultural and multi-linguistic environment will give you something you'll never be able to get otherwise: the view beyond your backyard into the world and the people within it.