I agree with everyone else that Basic Step, Body Fusion, Low Impact Step, and then Low Max will get you ready for Cathe's more advanced workouts. Breaking them down into pieces is a great way to do them, especially the longer ones.
When I started doing Cathe workouts, I had already done Kathy Smith's step workout tape for years, and I couldn't believe how much more complicated Cathe's seemed. I had so much trouble with knees around the world! What I ended up doing was after the workout one day, I decided to just focus on that one segment. I played it over and over and over until I got it. It took at least 15 minutes of repeating that one part, but I finally got it! I drove my daughter crazy, playing it so many times, LOL.
I think Cathe purposely designed Body Fusion, Low Impact Step, and Low Max to transition to more advanced workouts. When I started doing Low Max, I only did the first 4 intervals. Eventually I was able to do the whole workout. Same thing with IMAX2 and Step Blast.
Many of us have been there before...just break 'em down, and keep at it, and you'll have them down!! You can do it!!!!
Edit: Another thing you might want to do when you're feeling discouraged, or if you've had to stop and rewind so much that your heart rate has come down, is to do some of your Firm videos so that you know you've gotten your heart rate up, then spend some time on the Cathe videos. That way you don't worry about getting your HR up and can focus on learning the moves. Add more Cathe time as you get better at it.