Take your time and if you get stuck, try to pre-shape/curve/fold the parts the way you think they should be by looking at the pictures in the instructions, and then try without glue first to see if it fits that way.
Then if it doesn't fit, you can always fold the parts differently and try again if they fit, and then when they do, you can glue them on permanently. ;o)
If you look at the parts for Midna, you'll see that there are some fold lines, but just not a whole lot: I made her so, that most of the parts don't have to be folded. That way, Midna will have a nice, smooth look.
Instead, most of the parts should be curved: assembling them will be easier if you pre-shape the parts first, by rolling a pencil against them for instance in the palm of your hand (see my pre-shaping tutorial on Youtube [link] or Yamaha's curving tutorial in the basic instructions of their papercraft tutorial: [link])
Specific instructions for Midna can be downloaded along with the parts from my papercraft webpage [link]
It's a ZIP file, so you'll have to unzip first, and then you can open the pictures inside that provide step by step instructions to build the model.
I hope this takes away your confusion, have fun building!