When you just don't get it?!

Have you ever had that moment in time where something happens or someone tells you something and you just don't get it? You may even have them repeat it to you and still it makes no sense. Further you probe trying to obtain a grasp on things and the more aggitated the person gets at you for not understanding. It's as if there is one piece missing, yet it's there the whole time, you just can't see it. Frustrating isn't it. I guess that's why most of the time you just don't probe... you shrug your shoulders instead or laugh half heartedly as to not make an issue out of you not understanding.