Watch the instructor demonstrate the routine. Don't try to follow along or write down the steps the first time. Pay attention to sequences of movements rather than to individual steps to make it easier to remember the routine later.
Perform the routine step by step with the instructor leading. Have him demonstrate any complex steps you aren't clear on. Ask him whether he noticed any problems or has any corrections to make.
Perform the routine again with the instructor, and develop a mantra as you perform. Your mantra can be just reciting the steps to yourself in your head, thinking of a word that describes the movement to you and reciting it as you perform, or doing anything else that helps you remember the sequence of steps. You can also recite this mantra to yourself later when you're not performing, just to get the feel for the rhythm and to remind yourself of the steps.
Play your music while performing the routine. Listen for any musical cues, such as beats, tempos, instruments or lyrics, that coincide with steps to tell you when movements or sequences occur.
Perform your routine all the way through. Listen to your music for your cues, and recite your mantra to yourself. When finished, ask the instructor for any corrections.