The best advice is already given: see your teacher during office hours or set up an appointment.
Some questions you should ask yourself, in order, constantly:
Q1. Am I able to recite the formal definition of all of the words that show up in this theorem? If not, I should study the definitions.
Q2. Am I able to provide concrete examples that satisfy the properties of each word that shows up? If not, I should study examples.
Q3. Am I able to provide concrete examples that DO NOT satisfy the properties of each word that shows up? If not, I should study counterexamples.
Take this simple theorem from abstract algebra (group theory): "Let $H$ be a nonempty finite subset of a group $G$. If $H$ is closed under the operation of $G$, then $H$ is a subgroup of $G$."
My answer to Q1:
"$H$ is nonempty <--> $H$ has at least one element",
"$H$ is finite <--> the number of elements it has is some natural number",
"$G$ is a group <--> $G$ is a nonempty set that has an operation, the operation is associative, there is an identity element, and all elements have inverses.
"subset of $G$ <--> every element in $H$ is also in $G$",
"operation <--> a function that takes two inputs from a set to some unique output element",
"closed under operation of $G$ <--> $G$'s operation always outputs an element of $H$ no matter what two elements you operate on from $H$",
"$H$ is a subgroup of $G$ <--> $H$ is a subset of $G$ and is also itself a a group under the operation of $G$".
My answer to Q2:
$\{0,1\}$ is nonempty
$\{0,1\}$ is finite
$(\mathbb{Z}_4,+)$, the integers modulo $4$ is a group
$\{0,1\}$ is a subset of $\{0,1,2\}$
The function $\xi: \{0,1\} \times \{0,1\} \rightarrow \{0,1\}$ where $\xi(0,0)=0$, $\xi(0,1)=1$, $\xi(1,0)=1$, and $\xi(1,1)=0$ defines an operation on $\{0,1\}$ (this is "addition modulo $2$").
Interpreting $\{0,1,2,4\}$ as the integers modulo ($(\mathbb{Z}_4,+)$), the operation $+$ acting on the set $\{0,2\}$ outputs only elements of $\{0,2\}$.
$(\{0,2\},+)$ is a subgroup of $(\mathbb{Z}_4,+)$ as above.
It would be good practice to answer Q3. Making this loop of checking yourself forces you to absorb the definitions and see why they exist in the first place.
If those questions were easy to answer for you, then I suggest identifying the hypothesis and conclusion of your theorem. Dig up counterexamples to the hypothesis of the theorem and figure out why they don't necessarily work (sometimes they may! Be careful here, you may need to tinker). This type of study will help you put the theorem in context and make proving it easier.