School can be extremely frustrating. I have had instructors like that and it is really a challenge. It helps if you can find another student or group of students to discuss what you are all feeling unclear about - maybe as a group you can either come up with a solution, or go to the instructor and explain that you are all in the same boat.
As for changing your major, don't feel bad. The third time was the charm for me. Many people don't know right away what they want to do. Use all your classes as a chance to ask yourself if this is something you want to learn more about - that way you help find what you are interested in.