Not to worry, it'll come. I had a hell of a time with the weave, as has everyone I've ever taught it to. A few pieces of advice:
1. Materials are very important. I started out with these cheesy homemade wicks which hurt A LOT when I hit myself (which _will_ happen to anyone no matter what their skill level), then switched to spinning these tiny LEDs that were way too light to be good to learn with. Get yourself a pair of tennis balls, or bean bags, or better yet, a pair of the streamer-style poi sold on this site. The right amount of heft combined with the noninjury factor is _really_ of vital importance. I had been practicing for two months and all I could do was the butterfly and the figure-eight. When I got my streamers (a friend gave me a pair of Zunis) I learned like five more moves that very day; ones I'd been struggling with while using inferior poi sets. Having a really good set to practice with is very very important!
2. If you get frustrated working on a certain move, stop working on it for a bit! Take a break; work on a different move, just do the things you already know how to do, or put the poi down and get a drink. Sometimes the brain needs a few minutes to percolate in order to get that mental breakthrough that makes it all come together. Very technical moves, like the weave really are like this.
3. Many many moves are much easier to learn starting out with one poi in one hand, then practicing with the other, and only THEN practicing with both. Again, the weave is no exception to this. Study carefully and practice the hand motion shown here in the first animation:
http://www.juggling.co.nz/theweave.htm
Make sure you can do that "over..under..out.." with each hand one at a time, even if your brain can't quite grok what the other hand is supposed to be doing. It'll come, I promise!
4. Take good care of yourself psychologically. This is _fun_. I seriously doubt you're as slow a learner as you think you are in comparison with others, but who cares anyway? Don't think in terms of your performance compared to other people..there will _always_ be somebody slower, and there will _always_ be somebody faster. To belabor the point, when I started learning I was the only person in the city who was doing this stuff. Then when I started to get pretty good and confident in my skill I started teaching a friend, who learned ten times as quickly as I did. I was pretty bummed out about it, feeling like I'd wasted a lot of time, getting so easily surpassed by somebody I considered a "student", but then it occurred to me that a. who the hell cares and b. i didn't have the luxury of having someone around to show me how to do the moves or explain things except on rare occasions when I had out-of-town visitors, so it's perfectly understandable that he'd learn a lot faster than I did. I promptly forgot about it and continued learning at my own pace. 
5. Take care of yourself physically. If your shoulders start to ache, put the poi down until tomorrow. There's _always_ tomorrow, and you'll be in better shape for it. And don't forget to stretch before and afterwards! Over time you'll be able to practice longer and longer.
Don't hesitate to get back to us with questions if you have them. And see if you can get some friends in your area in on the fun too..one of the best ways to learn is to have a friend nearby to laugh at you when you screw up! 
Best of luck & good fortune!
-protie