Sometimes, we just don't get what we want in life. Heck, we'd all be millionaires if we all got what we wanted
all the time. Let's channel some "Rolling Stones--You can't always get what you want", and have a little chat about disappointments you may encounter at dance.
Not getting a step on the first try--or not as fast as the rest of the class:
Been there. Many times...and I will be there again, I'm sure. No one likes to be the "one" person that picks up things slower, or just can't wrap their head around a move. This. Is. NORMAL. Everyone learns differently. Everyone is unique. Occasionally, our own frustration turns quickly into embarrassment, anger, and disappointment with yourself. This creates an even bigger obstacle to get over in order to deal with how to learn something.
Walk away. This may not be in the literal sense, but try and take a break, take a deep breath, or think of something that helps calm you.
Ask your teacher for extra help. Why suffer in silence? Your teacher had to go through the same thing you are, and may be able to break down the step in a different way so that it "clicks" better with you. If it is taking away from class time, stick around after class to get more help.
If you still aren't getting it, sometimes if you "leave it", your brain will have time to percolate everything, and the next class you may find it comes a bit easier.
Don't give up. This one is hard-- Because it means that you have to dive deep into your resiliency and let the negative feelings roll off of you.