From one Annette to another:
Hi, Annette! Yes, it will get better. I am the Ranking Klutz of the Cathe Forums, and I've been able to master many of her step, floor and kickbox routines. That is the beauty of workout DVDs in general: you can practice them over and over in the privacy of your own home until you get it right.
If you have Cathe you don't really need a gym. You've picked the perfect duo to start off with. Practice those, and consider for your next purchases her new release "Low Max", and some of her dedicated strength DVD's like Muscle Max (also new), Pyramid Upper / Lower Body, etc.
Welcome to Da Gang!
A-Jock