Good for you for diving into CLRS by yourself. You're a braver man than me. I used the book for a grad algorithms course I took last semester, and I had a hard time just finishing the problem sets assigned for the course. Completing all of the exercises would be a truly Herculean effort.
I'd recommend tackling the chapters that interest you most and those that you don't find to difficult. The beginning of the book, if I remember correctly, is one of the harder parts, diving into the mathematical background of a lot of different areas of algorithms. Chapter 5 is especially difficult unless you know a fair bit of probability theory. Also, starred sections and problems are significantly more challenging than the surrounding material (like 21.4, which contains material our professor confessed to being unable to prove in class). Finally at the end of the book, there is just a survey of miscellaneous topics; you can just look at those that interest you, since there are entire books written about each of those topics if you want to learn more about them.
If you're interested, in addition to the OpenCourseWare material posted, you can look at the material for the class I took as well, although the page will probably be reset in Fall 2009. I hope this helps, and most importantly, don't get too discouraged! This is the seminal book on algorithms for a reason.