if I can't tell what something is by ear, I do a few things
Liner notes for the song, usually says what instruments if there's any live instruments, and must say what samples if there are any,
if that doesn't tell me the specifics like it just says "guitar" i'll look up things like "guitar rig set-up for [band] [song]" and see if anyone's already figured it out.
for non-obvious sounds that you can tell the instrument type
"what is that stringed instrument they play in paint it black, that isn't a guitar" or "what is that buzzing string harmonic noise in that one beatles song that I can't remember the name of at the moment"
to "how was this synth string made in this song"
and "recreating sound from X song"
or, post it on /mu/ and say "yo, wtf is this sound"