I think that's "slow" but pretty typical for undergrads. Most undergrads don't really focus when they are being taught…they just kinda stand there and just say okay to everything (and it really does seem to make sense when someone else is showing you…). I've trained high schoolers, undergrads, and PhDs. There's a noticeable difference…high schools/undergrads usually just don't seem to CARE enough…they just want to be told what to do like a robot and somehow stick around long enough for a pub. PhDs show more initiative and effort because their life depends on it…still they don't go about learning as efficient as I think is possible and often ask for help several times. (a new PhD is essentially an undergrad…)
Ideally, you should learn most molecular bio techniques after ONE time of watching your mentor and then have a few more complicated/thoughtful questions after you're on your own. Take diligent notes, bug the hell out of your mentor during that first time, reinforce your learning by looking up online material (believe it or not, there are tutorial videos on western blots on youtube…). Some techniques, there isn't sufficient time for someone to explain all the theory to you…take the initiative and GOOGLE.
As an example, this is how I go about learning a new technique:
1) I look up the technique, both experimental and theory before I'm shown
2) I take diligent notes, ask if it's okay to record the conversation while learning, and ask any questions as soon as I think of them
3) I type up a protocol for the experiment and make notes besides each step as necessary; I replay the recorded audio to make sure I didn't miss anything
4) I use Google if i still need more help but usually I'm good by then until some complex data analysis
5) I use the protocol as an aid--I try to think of the next step and only look at it to verify or if I don't remember; usually I can perform techniques without a protocol after no more than 3 trials
Yes, there are some very complex stuff out there…lots of microscopy, NMR, etc that will require a lot more effort, patience, and mentorship.
Edit: As a followup, OP if you were learning the Blot and your mentor said that you pour milk onto the nitrocellulose membrane, did you ever wonder/ask why milk?