To recap some of the excellent suggestions already provided:
--Wear good shoes.
--Watch the video all the way through first.
--Start with the lowest step, or no step.
--Don't try to do the arm movements at first.
--Be sure to put your whole foot on the step.
--Do the workout in sections--10 or 15 minutes at a time.
--Count. Usually, combinations are in 8-count segments.
--Relax. This is supposed to be fun!
My favorite beginner step workouts:
--Gilad on Waikiki (this is in three sections--you can learn one at a time)
--Susan Powter's Burn Fat & Get Fit (To me, her brashness is fun)
--Kathy Smith's Step Workout (this is the one that taught me step)
Oh--and don't forget to come back to VF. We really like to coach--and all of us are always learning.