Learning a foreign language implies several sets of difficulties. You must master the sounds that make the languages (the phonemes),    understand how to arrange words so as to make meaningful utterances (this is syntax), and acquire new words that may seem unrelated to their meanings or funny. Of course, you will learn all this together and I break it down here only to help you analyze the difficulty.

A. Phonemes : the sounds that make the language

The sounds that make the language. For example, in spanish you have a sound usually written j (like in Guadalajara) that does not exist neither in english nor in french, but has a close equivalent in german and russian. A beginner could be tempted to  make it like a french r but it's bad, because there's also a r in spanish. Phonemics, the science that studies how human languages use sets of sounds  to convey meaning, is extremely interesting and you will probably enjoy reading an introduction to it. Anyway, you have to keep in mind that the phonemes  in your target language are to be learned by listening to native speakers, comparing the phonemes between themselves (spanish r versus j or english th versus s) and then practicing. To a dedicated learner, phonemes are not very difficult to learn and they should come after 10-50 hours of study for a reasonable language (russian is *not* reasonable!). Beware that some languages use very complex phonemic systems, for example tonal languages like Mandarin chinese. where not only you must learn to distinguish between sounds that seem very, very close, but also you must tell wether the syllabe that use that sound is climbing, flat, descending or whatever. For such languages, the next best thing after having a chinese girl/boyfriend is to use a good CD ROM where you can click a thousand times on two related sounds to compare them.

Note that some people are just satisfied with just being understood and use the sounds of their mother tongue when speaking another tongue - something rude and lazy that you should avoid. French people are the worse I know for this.