Yes, I felt the same way when I first started. I came from windows 2000 to Red Hat. I had so much trouble getting anything and everything to work. Luckily, I was able to dual boot so that I could work in windows while learning the ins and outs of linux.
It dose get better though, once you are familiar with all the programs and what they do. Ubuntu is what im using right now, too bad this wasnt around when I was a newbie, in my opinion its easier than windows, and both my mom and brother agree (and their computer illiterate)
The headache of learning the system is well worth it though. As an IT professional I find the ability to customize every little detail of the OS a huge advantage over being forced to do things one way and only one way (like osx and windows) Not to mention, im an avid c/c++ programmer and can change anything and everything to suit my needs.
My advice, take it easy and read lots and lots of howtos, i promise before too long youll be able to wrap the OS around you finger and get revenge for the shit its giving you now