Practice, practice and then you need to practice! I played with them for three years until I was comfortable enough to blow one at a real turkey. When you get it, it will just click and you can start making all sorts of sounds.
I started with HS calls, the cutt'n 2.5 is still one I never leave home without. Not a good beginner call however. As others mentioned, the more reeds and cuts in the reeds the harder they are to blow and control. Raspy old hen is a good call and doesn't take a lot of air. I switced to Woodhaven 2 years ago and love them.
I'll date myself a little. When I learned I used casette tapes, what are CD's anyway?
Had a stereo with a double casette deck. I found it very helpful to play the instructional tape and them try to mimic the call. When I was blowing the call I recorded the sounds on the second tape deck and then played it back and listened to the sounds. You could do the same with a dual CD players. That helped me the most to actually listen to my sounds, then I knew which parts to work on.