What to do when hearing Adhaan?

 
1.When one hears the Adhaan, then be silent and repeat aftervthe Muazzin.
2. When the Muazzin says, “Hayya alal Salaat” and “Hayya alal Falaah” one should say ‘La howla wa la quwwata illa billahil aliyil atheem’ [there is no ability and no power except with
Allaah, The All High – The All Great].
3.When the Muazzin says, “As Salaatu Khayrum minan nawm” in the Fajr Adhaan, they say, ‘Sadata wa barakta’ [you have spoken the truth and have done good] or ‘Masha Allaah’ [whatever Allaah wills happens].
4. On completion of the Adhaan, both the Muazzin and the listener should say:
“Allaahumma, Rabba hadihid da’wati taaimati, wa Salaatil qaauimati, ati Muhammada nil waseelata, wal fadeelata, wab athu Maqumam Mahmooda nil lathee wa adtahu, innaka la tukliful meeaad.”

“Allaah, the Rabb the of this perfect call to this Salaat to be established, grant Muhammad the means and excellence and raise him to ‘Maqaume Mahmood’ (the commendable station)
You promised him”

source: Taleem ud Deen (Hanafi), Mufti Afzal Hoosen Elias.