I have the SPDs and have had no difficulty whatsoever in clicking in or out of the pedals.

I really like the recessed design of the cleat which allows me to walk around in my bike shoes. This is important to me as a commuter who spends time on the train, roads, work hallways, etc in my bike shoes.

Anyway, it'll start to become second nature to you. The front part kind of angles into place and then just press down pretty hard with your foot. You'll hear the click as you engage in the pedal. To release, simply torque your heel away from the bike and your shoe will snap out of the pedal.

I would also recommend heeding advice above and playing around with the tension. It shouldn't be too difficult to click into SPDs. Other people may have favorites, but SPDs work very well, and for the price (free) I see no reason at all to return them and buy new ones.