If you have the program TablEdit or GuitarPro, then find a lick you like that's been tabbed and reduce the tempo to a low BPM, then loop it repeatedly, playing along with the recording. This is a great way to practice, and you'll notice if any of your notes are off. With TablEdit or GuitarPro, you could also tab out your own exercises, such as scale runs and play along.

If you have the program Transcribe!, then you can find a lick you like in a song, such as the ascending riff that opens the solo in "Heaven Tonight" by Malmsteen, slow it down to like 50% and loop it, playing along. When you can do it confidently, move the speed up to 60%, 70%, etc. until you can play along with Malmsteen. Remember, start slow and work your way up. You don't go to the gym and throw 450 on the bar if you just started working out, and you don't try to play too fast if you're just starting out on guitar... both have disastrous results!