I don't blame you about being frustrated with this form of therapy. I looked at it some time back when I first started looking around for a therapist, but alas, no one in this area was doing it. Which probably is a good thing otherwise I wouldn't have discovered Transactional Analysis.

What DBT seems to try to make you do is train the mind to recognise the appropriate situations to which you are to react in "XXXXX" manner among other things. The problem is, you haven't got a clue on how to catalog them in your mind, because it all gets so lost in the frustration and chaos. This of course starts to get you stressed, then frustrated, then you want to get angry, but at who? The therapist? She's trying to help you, so you can't really get mad at them, so you turn your anger inside because now you're angry because you can't 'get it'. DBT may be fine for some people, but it's not a one size fits all sort of therapy.

What most conventional therapists overlook is where our emotional parts come from.

Ally, take a look/read at the link in my siggy and see if this might help you understand why you get frustrated. Heck, it might help you with the DBT if you have to go to them.