Many students think if they don't know something or can't do something, it means they are deficient, or, as many freshmen would say, "stupid." This is FAR from true. The feeling of confusion is most often just a signal that we don't know what's going on, that something is new to us. Instead of shutting down because we feel "stupid," a more useful response is to recognize that this is a new subject, new information, a new challenge, and we need to recognize some effort may be required to understand the new information or concept. In other words, we have a chance to learn.
I live by this philosophy in my classroom and in my personal life. It is not one of my making, but rather is my own classroom rendition of Piaget's ideas about cognitive dissonance...in case you are interested.
Good luck in your own learning.
Mr H