If your playing on some of the main sits you can request your hand histories, these are great for anaylising your play, there is also a program called poker tracker. Poker Tracker is a Windows based computer program that allows you to analyze your on-line Texas Hold'Em play. Poker Tracker stores and summarizes hand history data that can be downloaded from your poker site.
http://www.pokertracker.com
Additionally your pre-flop selection is a crucial aspect of your game, if you are new i recommend downloading and purchasing a odds calculator good ones include
Poker Pal Pro v5
http://shareware.qed-online.com/files/PPAL.EXE
These will show you your pre-flop chances of winning and also your chances after the flop, turn and river. It will also work out your pot odds for you and can be configured to your style of play, e.g loose - tight or a bit of both. If you are going out early i recommend tightening your game up a bit, only try and play Big Group 1 hands, like AA,KK,QQ,AK.