I have had to learn a lot of material lately, much of which I either don't know, or have not played in years. I sit and listen to the song 2 or 3 times, just to get the general flow. Then, I just focus on chord changes...block them out only using 1 and the occasional 4 or 5. I also start thinking about hand position switches (major/minor, etc). When I can play all the root positions of all the chords, I'll start listening and copying the bass line. Sometimes this is really easy, sometimes it is lots more difficult. I figure out the easy sections, then research examples for the harder stuff. Keep doing this until I can play the song, then go back (over time) and isolate the harder licks, playing them in isolation and also incorporating them into the song. Keep going back to the same song every couple of days.
For an easy song (ex. Louie, Louie)...this all takes about 15 minutes--once.
For something like "I Wish", "The Chicken", etc, it could take days, weeks, or months (some licks on Chris Berg's "Chicken Arrangement" still escape me).
As far as how you feel....right now you should be experiencing and learning. Being comfortable will come quickly and easily. Be patient in moving from the unknown to the familiar. Please remember that beginnings should be celebrated just as much as mastery.
Good for you! Thanks for being so open and honest...and...good luck!