I've been doing Zumba for nearly a year and I love it so much that I'm signed up to train to become an instructor.
Like any exercise program consistency is key. Zumba does have a lot of dance moves so unless you took dance classes for many years you may find the classes difficult if you do it only every once in a while. People with strong dance backgrounds have an easy time picking up any routine with any instructor.
One of Zumba's strengths is the instructors will do the exact same routine for several weeks so every class you'll learn the songs a little better and about every 8 weeks the instructor will retire songs/routines and add new ones.
Another strength is a lot of the moves have a lot of twisting so you get a great ab workout while standing up.
If you go to a class try to get a spot in the middle of the room because many of the routines involve turning. By being in the middle there is always someone in front of you to watch.
Do not be afraid to ask the instructor to explain the steps before she plays the song. Also ask her to offer low and high intensity versions of the same step. The low intensity versions are always easy enough for beginners to learn quickly.
When it doubt either march in place or just shake your butt or boobs. And do not be intimidated by all of the shaking and wiggling. If you know how to do a football drill you can shake your butt.
The most important thing when taking a Zumba class is DO NOT stop moving in the middle of class. Zumba is a high intensity cardio workout and if the steps are too advanced then vigorously march in place to keep the blood flowing until the steps get easier. If you just stop in the middle of class and sit down it is very bad for your body.
Another trick that might help you in class is to take small sips of water in between the songs. Many small sips help you keep going better than a few gulps.
And of course don't forget to breathe. If you feel a cramp forming in your side just breathe it out.