I can relate as well. Sometimes it is overwhelming but it will get better. Here are a few things that might help:
1. Ask your coach for specific exercises to help you get it right. For example, my lower leg wasn't very solid because my leg position was poor so my coach had me trot a few circles standing than has me ride where I post for 4 beats and rise for 5 beats until I find the perfect center of balance. Same with hands. I rode with my reins backwards for 2 lessons and they holding my crop in my thumbs for 2 more to learn the correct hand position.
2. If you are not sure, ask your coach to stop and let you feel it on the ground. Knowing how much to give, or how much rein pressure or leg pressure or leg position you should feel is difficult when on the move. A few seconds to feel it while stilo does wonders.
3. If you don't know what your coach means, ask again and again until you do. Some days I feel like a total idiot in lessons because I am always asking for clarification, but I know I want to learn and I am paying the coach to help me learn. I am not there to guess my way into doing it right. If I ask more than once, the coach knows I didn't understand and usually finds another way to help me.
4. Ask for "homework" after every lesson. Your coach should be able to give you exercises to do either in the saddle or on the ground to help reenforce the muscle memory and build the muscles you need.
5. Do your homework to the point that you can go back to your next lesson and feel like you have improved since the last one. Don't try to fix everything, but choose the most important thing at the time and focus on that one thing until you get it. Maybe that means working on keeping your one hand closed, or your elbows more relaxed, or suppling with the inside hand.
I've had a few dressage coaches and many focus more on what the horse is doing than on what the rider is doing, The one I have now focuses on me, the rider. I have learned that given the correct cues, etc, my horse is much more capable than I ever thought. When I come together, we come together.
Know that it will take work and practice of what seem like some minute details, but every one of those details improves your ride.