My university riding club holds the occasional sidesaddle lesson - I missed them all for various reasons last year but am DEFINITELY going to go this year.
Apparantly, if you've never done it before, it is harder to teach the HORSE to get used to it that you - we can only use 2/3 horse at my riding school because the others just wouldn't know what to do. It can be very confusing for them.
I think if you've been riding a while and have good balance on a horse that know what its doing it's not too hard to pick up though - my friends who tried it last year were cantering by the end of the first lesson!
Btw, the lower 'head' on the saddle is called the 'leaping head', because you're supposed to use it for support when you jump.