First, what's a shiur? It's usually just a lecture about something that is somehow tied to Jewish thought. And it usually has a lot of Hebrew and/or Yiddish and/or Yeshivish.
I used to become very frustrated when listening to shiurim (plural of shiur) because of the frequent use of words I didn't understand. However, now I know that at least the Hebrew words are often unnecessary to understanding the lecture. Basically, if you don't understand Hebrew, just ignore the Hebrew because the lecturer will almost always translate what the Hebrew phrase means. And if they don't, and you don't understand the shiur in the first 5 minutes, turn it off and find a new one.
This helps but doesn't always make the shiur understandable. If you don't speak yeshivish (a mix of English, Hebrew, and yiddish), you may still have a hard time understanding the shiur. Even the most modern of rabbis may use a great deal of Hebrew or Yiddish words in conversation. In this case, I also advocate the 5 minute rule. If you don't know what's going on, try something else. Especially as a beginner, try sticking to shiurs labeled "for beginners" or "introduction." But you will be surprised how quickly you learn all kinds of words! It's very much like learning a foreign language as a child would: immersion. Remember to look for context clues! (And most Yiddish words are words of emphasis/qualification or not important anyway: "very," "really," filler language that can translate to something like "so")
There is no shortage of shiurim on the internet, so there is no point in continuing to listen to something you don't understand!