Speak up! If you don't understand a dance, ask for help, you're not going to learn it by standing in the corner watching! Always talk to your dance teachers if you are having a problem and they will help sorts things out.
Know that it is going to be hard. Learn to distinguish between "good" and "bad" pain. Dancing isn't an easy thing to do, but it doesn't have to be painful all the time. It's supposed to be fun! If it gets to the point where you're not having fun at all, stop. It's not worth it if you're not enjoying yourself, or if you wish you were pursuing something else.