I found that when I first tried pilates it was done in a class format but I understand what your saying if they tell you to sit like this and you can't its easier to handle on your livingroom floor than some gym floor
I found that Gaim made some excellent pilates tapes for beginners, slow and explained as they went, another one to try is pilates for dummies again slow and explained as they went.
I would think the only wait to avoid hurting yourself is to go as far as you can go and do what you can do not what they are doing. Modify Modify when needed. Soon you'll be able to keep up with the group!