I was just reading that if you have trouble doing them you should start by stopping the flow of urine a couple times every now and then when you go to the bathroom until you get the hang of using those muscles. Then once you've mastered that technique do it the correct way.
I just tried to start them too and I seem to be running into the same problem so far, here's hoping it starts to get easier!!

They're kinda weak little muscles, so it's not like you should be holding them for minutes, even! The best way to find which muscles is to start by stopping the flow of urine while you're peeing (although you should only do that once or twice, until you know which muscles it is, because you can give yourself a UTI doing that too much). Then just do the exercises a couple times a day for a few seconds or so. The muscles will tire out fast so take it easy on yourself!

I started with being able to hold for 3 seconds before I would loose it. It does get better with practice. I am up to second level work outs where you hold for 10 seconds. At about 5 and 8 seconds I have to tighten again but I can say you will get the hang of it. Try them laying down or sitting. I have a hard time doing them standing. Even when you're making sweet love pause and ask if he can feel when you flex...