"Remember the Sabbath day by keeping it holy."
The First Commandment is about God Himself, and the Second is about His name. The Third Commandment, then, is about His Word and how we should gladly hear and learn it.
In the Old Testament, that is, before the birth of Christ, the Sabbath day referred to the seventh and last day of the week, Saturday. Now in the New Testament, we learn and believe that Christ Jesus is the true Sabbath day, the one who gives us rest for our souls (Matt. 11:28-30).
As for what the Third Commandment means according to the Small Catechism, it means: We should fear and love God so that we do not despise preaching and His Word, but hold it sacred and gladly hear and learn it.
A word worth thinking about here is "gladly" (in German, gerne). It means "with pleasure, willingly, and readily." With joy! What comes to my mind right away is the first line of Psalm 122, which I learned to sing as a child: "I was glad when they said to me, 'Let us go to the house of the Lord!'" Which means, "Let us go to church with joy in our hearts, smiles on our faces, and ears ready to hear God's Holy Word!"
Yes, what does "gladly" look like? Answers: Looking forward to Sunday morning like no other time of the week. If possible, attending church and Sunday School faithfully each week. Preparing for Sunday on Saturday. Arriving a little bit early to pray before service. Taking the message home with you and into the week. Enjoying other opportunities to hear and learn God's Word.
And, what is that Word? In summary: "Take heart, child, your sins are forgiven."
And note that the word "gladly" is used also in the Close of the Commandments: "Therefore, we should also love and trust in Him and gladly do what He commands."
May the Holy Spirit fill our hearts with true gladness!