Don't beat yourself up, your not stupid.
There is a place in the redridge mountains where you can train up lockpicking. It is a farmhouse just North East of the main town in the area.
To get to the Redridge Mountains you need to get to Stormwind and basically head east. Once you get to Redridge head North North east to find the town.
Hope this helps!
Dub - LvL 58 Hunter - Demon Soul
Dub - LvL 60 Warrior - Dark Iron - 8/8 Might
Malfader - LvL 60 Mage - Gurubashi
Malfador - LvL 60 Rogue (Deathwing)