Know this sounds dumb, but it really helps especially when I started playing PES 2008. Run through the tutorial mode. Unlike most soccer training portions, this will actually show you and hold your hand step by step until you get it right.
In short, hold Z and swing the nunchuck. Second you cant change players..... sort of... well not like the PS3 or XBOX versions, you don't change players but rather control them all. Only you point at the defender you want to go defend, if you want to take the other guy off press or hold the C button first then add your new guy. If you just click on defenders rather then pulling them they will just run at the player with the ball, generally only 2-3 closest defenders will run towards the defender unless you free run / pull everyone onto the defender. if you click on the attacking player only the closest 2 defenders will run at the player and you can free control one of them. The free control inst the best, better of letting the AI defend for you as mentioned above and just go tackle crazy or shrug them off. In my opinion use the shrug defend with 2-3 players and the AI will just run right into you.
If you are playing with the classic controller or with just the wii remote - cant help ya. I much prefer the Wii remote and nunchuck combo. Pure attacking is the way to go!