Don't be scared! Just remember that the workouts as shown are something to work up to, not something that one can necessarily do right out of the box. (And those people who never have to modify and can do all of Cathe's workouts all-out are actually in a less favorable situation, because they have nothing to work up to, and can more quickly outgrow the workouts).
Modify as much as you need to: don't be shy about it!
Remember that your body is your best personal trainer, and challenge yourself, but don't try to push yourself to do too much just because that's what's shown on the DVD.
You might want to add just one workout at a time into your rotation, then after you feel like you're doing pretty well with that one, move on to another (which has the benefit of making the workouts 'last longer,' but which doesn't work well for the impatient!).