Most aerobics classes, no matter the type, will allow you to adjust your exertion to your ability. I would recommend starting at the lowest exertion level to begin with and work your way up to higher intensity. In my step classes I see women all of the time taking the class for the first time and trying to do the class with the step plus a riser or two, and they usually only come once because they get frustrated, embarassed or exhausted. Sometimes they even quit half-way through the class rather than taking the level down some and continuing to move. If you start at the lowest level, you can always work up to a higher level, but if you try to start at too high a level and never go back because you're frustrated or worn out, then you've only defeated yourself.
If you have a hard time keeping up with a routine, do only the leg movements. Add in the arm movement as you catch on. Some teachers at the beginning of a session will take it slowly to teach the moves a bit at a time and some won't, so you may have to adjust your actions accordingly.
Don't worry about messing up -- everyone who takes aerobics started at the same place and has messed up many many times. Every activity has a learning curve, so give yourself time to catch on. A lot of people will quit after the first session or two because they think they just don't have the coordination or won't ever catch onto the routines. If you stick with it, you'll find after the first few sessions that you're becoming more and more competent. If you find you don't enjoy the particular type of class, try a different type. I love step aerobics and hate kick boxing. The instructors also play a huge role in whether or not you like a class -- try out different teachers since they're all different.
The goal is to sweat and get red!!! I don't feel like I've had a good workout unless I'm drenched in sweat and red in the face. If it's a good class, everyone will be hot and sweaty. If you feel like you're overexerting yourself or are confused with the routine and need to watch the instructor for a bit, don't stop completely -- keep moving by marching in place while you take a break. You don't want your heart rate to drop too quickly.
GOOD LUCK and HAVE FUN!!!