It sure can be daunting all the radio stuff. Many of us have had the same problem, believe me.
I have two tips that may help you.
1. The scanner is a great idea. Leave it on all the time when possible, if you can pick up the frequency of your local airport. Having it on in the background somewhat simulates having it on in your headset like when you go flying. Learn to listen while going about your daily business. Listening in the aircraft will become easier. It's all about exposure and tuning in.
2. The BIG PICTURE! The more repetition you do in the circuit and the further into your training that you get you will start to see the big picture. You will learn to anticipate what the next radio call is likely to be and you'll try and always be one step ahead of the aircraft. Knowing exactly where you are and what you are doing will come.
Visiting ATC tower will give you a peek into the big picture and seeing the way things are done and where you fit into it will definately help you.
Trust yourself, learn how to fly the best that you can, let the confidence build and don't let those radio calls get the better of you. I do know the feeling you are experiencing, the nerves can be absolutely terrible, but remember that those people on the other end of the transmission are there to assist you. The whole world is not listening, it's just you telling them what you are doing or asking them what you want to do.
It will all come together. Don't let the radio's spoil the fun of learning to fly.
You will be okay!