As students, we're often confused. And we don't like it. We think we shouldn't be confused. Maybe we think it says something about how smart we are that we have trouble understanding. But think about it: when we're trying to learn something new, we're automatically in the space between what we know and what we don't. It's natural to be confused.
Here is a short video of Richard Feynman, the Nobel Prize winning physicist, talking about the feeling of confusion: http://www.youtube.com/watch?v=14ToSwTAgT4
Everyone feels confused. Looking on the bright side, maybe it means you're about to learn something. So get used to it. It's ok, really.