When I first went to clipless pedals about a month ago, I started at the LBS where I bought my bike (same day!). Some random customer advised that I get the crank bros smarties, but the bike shop strongly advised the spd. I went with the spd. The bike shop spent about an hour with me, putting the cleats in the shoes, mounting the pedals, getting them as loose as possible, then putting me and my new bike on the trainer and letting me practice for a good 30 minutes. The first few times I thought it was impossible, because I just couldn't seem to get the durn cleat into the pedal. Then suddenly it became easier, and that afternoon, I was using them just fine.

So my advice is: get yourself to your LBS, and ask for their help selecting the pedal, putting it on the bike, getting it adjusted to it's super easy, then letting your practice a bunch on their trainer, w/your own bike.

Good luck!