Give ear, O my people - This is not an address of God, but an address of the king or ruler of the people, calling their attention to an important subject; to wit, his right to rule over them, or showing why the power had been vested in him.
To my law - The word law here seems to mean what he would say, as if what he should choose to say would have the force and authority of law. What follows is not exactly law in the sense that it was a rule to be obeyed; but it is something that is authoritatively said, and should have the force of law.
Incline your ears ... - Be attentive. What is to be said is worthy of your particular regard. Compare the notes at Psalms 5:1.