An explanation of the so-called difficult consonants is necessary, but a better use of your time is to learn to correctly pronounce "Riben ren shi bu shi bu chi zhi" and "Zhege zi xie si si" from the lesson on "the letter I." If you can do that, your "Difficult Consonant" problem is largely solved before you knew that you had a problem.
There is actually is a piece of software somewhere called "Pinyin DIfficult Consonants." That's a catchy phrase, but to call these consonants "difficult" is not very accurate. The truth is these consonants don't exist in English, but they are not difficult for speakers of English to learn. This is also an opportune time to tell you that many Chinese speakers - typically people from Taiwan, Sichuan, and many parts of Southern China - don't pronounce "zhi, chi, shi" anyway - they turn these consonants into "zi, ci, si." Nevertheless, don't be seduced by the habits of "dialect speakers," you are best off learning "standard" pronunciation.
Important points on "zhi, chi, shi."
The point is that regardless of language consonants fall into two main categories: place of articuation and manner of ariticulation. For example, in both English and Chinese "b, p, and m" are pronounced by touching the lips together and "f" is pronounced by touching the top teeth to the bottom lip. F stops the air, then let's it through (like English "s." In English b is voiced, p is voiceless, m is nasal (air comes through the nasal chamber and resonates, f is voiceless.
Zhi, chi, and shi don't exist in English, but it is helpful to know that in Chinese these sounds share the same place of articulation. Zi, ci, and si also share a place of articulation, although it is a different than zhi, chi, shi.
First, let's figure out how to pronounce Chinese "shi."
Say English "shell" a couple of times. Then isolate the "sh" by saying it alone. Note the tongue position. Now move your tongue back slightly and try to say Chinese "shi." Listen to the sound file here and then practice saying it yourself. It can be difficult to listen to yourself, but do your best to listen and compare. "Shi" is a fricative, so the tongue tip comes close to the roof of the mouth but never actually touches it. The most common words using "shi" in Chinese are "ten" [shi second tone] and "is"[shi fourth tone], and first tone shi in "laoshi" [teacher]. Okay, we haven't gotten to tones yet, but you may try this sentence: "Ta1 shi4 di4shi2 ge laoshi1 = He is the tenth teacher."
Now "zhi" and "chi." Once again, "zhi, chi, and shi" are all pronounced in the same place in the mouth. Recall that "shi" is a fricative. Like English "sh," the tongue paritially blocks the air but never touches the roof of the mouth. But for "zhi" and "chi," the tongue briefly touches the roof of the mouth and then releases to block but not stop the air. Examples in English could be the "ch" in chin and the "s" in measure. The difference in Chinese between "zhi" and "chi" is that "zhi" is unaspirated and "chi" is aspirated. Aspirated can be thought of as a puff of air, and unaspirated is the absence of a puff of air. An easy example to see this in English is the contrast between "b" and "p." If you put a piece of paper in front of your mouth and say "big party" for "b" the paper will stay still, for "p" it will move slightly.
But back to "zhi" and "chi." As in our example, words with these are "zhi = paper and chi = eat." So if you say "Riben ren shi bu shi bu chi zhi" zhi, chi, and shi are all pronounced in the same place, but farther back in the mouth then English "sh." For zhi and chi, the tongue does briefly stop the air. You have to get used to listening to the difference in aspirated/non-aspirated.
Finally, zi, ci, and si. These are pronounced just behind the top teeth. You can follow the model of "zhi, chi, shi" above. "Si" is a fricative, ci, and zi are affricates, ci is apirated, zi is unaspirated. It helps to get used to saying the number four corrcectly, then say "four times" = sici.
Now try one more example for "zi." In Chinese, many common nouns are two syllables, the second syllable being "zi."
Examples: erzi = son, zhuozi = table, beizi = glass, laozi = slang for "me," Kongzi = Confucious, Mengzi = Mencius.
Once again, if you practice the examples from "the duplicitous i" page, it's an easy way to focus on the main consonats, and you can gradually add the finals that go with these consonants to your repertoire.