Hang in there!
Have you told the instructor that you are new? I find if they recognise a new person in the class then they spend a lot more time talking through the moves between tracks, and spend the first round of the routine talking through it.
Other than that, make sure you get a good vantage point to follow the instructor, so you can keep an eye on him during the whole class. I remember one class I went to I made the mistake of staying in left hand corner of the room, so everytime we turned left I lost sight of the instructor.....
Also don't think about what you're doing too much, just copy what you see (this sounds crazy, but I find it helps me get to grips with a new routine). Don't worry if you feel a bit out of step, nobody will care anyway, they'll all be too focussed on the music :-) Hang in there, it gets easier the more often you do it. Try and get down to class 2-3 times a week so you start to memorise the routine.
Good luck and enjoy!