Step1 Create learning time. Make sure you have at least an hour a day to dedicate to learning mathematics.
Step2 Become acquainted with the vocabulary. Keep a mathematical dictionary by your side as you study. Many areas of mathematics require knowing a certain amount of mathematical vocabulary and it is less frustrating to be able to quickly look up the meanings.
Step3 Get at least two reference books on set theory. This way, you will have two different explanations and one of the explanations may make better sense to you than the other; or a combination of both will help you to "get it".