Compared to some of Shakespeare's other comedies (with all the plot twists and turns and the multiple character disguises), Two Gentlemen is relatively easy to follow. There's a lot of deception at work in the play, but there's only one character that dons a disguise (Julia, who dresses up like a boy and calls herself "Sebastian"). So, following the romantic relationships and betrayals in the play is a lot like following your favorite soap opera or all the drama going down at school.
Some of Shakespeare's little plot mishaps can be a teensy bit confusing (unless the editor of the edition you're reading went ahead and fixed the mistakes), because some city names and locations get confused. Just remember that Proteus and Valentine start out in Verona and travel to the Duke's court in Milan before all the main characters hustle over to the forest, which is somewhere between Milan and Mantua.
Also, don't sweat it when you read that characters travel by ship between land-locked Verona and Milan. Shakespeare knows it's impossible but he really, really likes for his characters to travel by boat.