I found it a good idea to tie a piece of yarn to your spindle and practice "spinning" it before you start on roving. Just practice getting the spindle to spin. Practice easing the yarn through your fingers and "drafting". It really helped me to get a feel for how it worked before I started on lose fiber that can easily separate and lump up and so on.
The other thing is practice, practice and more practice. It's better to spin a little bit every day than to spend one day spinning for hours and frustrating yourself.
And don't expect your first few hanks of yarn to be something you want to make something out of.