Playing by Ear (Picking Out Melodies in First Position)
Playing by ear is the skill of being able to hear a melody, a song, or any piece of music and then being able to play it. Some people can hear a song just once and have the uncanny ability to play it immediately. For others it takes listening to a song ten times before they're able to reproduce it. If you fall into the latter group you're in the majority, so don't worry. Playing by ear is a skill that can be acquired with practice.
There are two components to playing by ear. The first is being able to listen to a song and remember what you heard, and the second is being able to find and play the notes you remember on your harmonica.
If you have any problem listening to a note and then reproducing it on your instrument there is a course of education called ear training that will help you. Ear training is a series of exercises that teach you this exact skill. You can find courses on CD that you can use to train your ear and develop this ability.