Keep trying. You'll get there.
If you're bad at PC games, don't worry. You're not alone. Most people are really quite bad at games, and it frightens them away from the often hyper-competitive world of online gaming. It's an unfortunate truth that the newbie is one of the most despised classes of people in the gaming community. If you don't understand how to do something in a shooter, you can expect to hear horrible things said about your mother over voice chat. Can't figure out how to plant the bomb? Instead of helping you the ever-immature gaming hordes will likely invite you to perform an unspeakable act of some kind, or serve you with a smörgåsbord of racial slurs. The thin skinned have no chance to develop their skills - to stop being newbies.
Single player games provide an outlet for teaching basic gaming skills in a relatively safe environment. While you won't learn everything that you need to know playing single player, you'll at least learn the basics - how to move around without losing your bearings, the general goal of the game, and how to set your controls so that they're comfortable to you. Getting that comfortable baseline of ability will help give you a good foundation to build on when you start playing with other people on a regular basis.
Keep in mind that you are going to fail often. In a shooter, you're going to go through a long period of constantly dying no matter where you go. In a strategy game, you'll likely be rushed horribly dozens of times before you figure out how to build your first few units. In an MMO, you might find yourself clobbered by the pathetic monsters in the newbie area. Don't let the failures get to you. They'll act as natural teaching abilities.
According to the developer Raph Koster's book, Theory of Fun, the enjoyment of gaming is derived from the hit of pleasure that the brain releases when you learn a skill. The failure mechanics in a game are there to help train you to become a better player. If you're completely stuck, you can also look up gaming advice online at websites like Bright Hub. Even the best players need a little help now and again. Looking up videos of the game you'd like to get better at on sites like Youtube can also help you raise your game quickly.