Congradulations on starting a wonderful read. Keep at it. The first three books will feel very different from book four. The story will eventually become absolutely vast. The events of the Wheel of Time are roughly comparable in impact to WWII was for us. Imagine if someone setout to tell the story of WWII from the viewpoint of virtually all the key players on all sides. That'll give you a pretty good idea of the scope of the story. It's an amazingly ambitious undertaking.
The Wheel of Time contains a concept of an Age Lace. The basic idea is that every person's life is a thread. Those threads are woven into a pattern as people interact with each other. In most cases, these threads are allowed to wander about however they like within the pattern. Every so often the wheel which weaves the pattern churns out a central thread. A Ta'veren. This person becomes a focal point in the pattern. The Ta'veren influences those around him and bends their threads around him. This bending ripples outward through the pattern and more and more threads are woven together around the Ta'veren. The more powerfully one is Ta'veren, the more influence that person will have over the pattern. This weaving of threads around a Ta'veren is called an Age Lace. I suspect this is a very familiar concept to most writers.
I told you that story to tell you this story
WOT has always seemed to me to be an attempt to tell the story one Age Lace. Perhaps the most important and largest Age Lace ever. Rand al'Thor is probably the strongest ta'veren of all time. The Age Lace which surrounds him encompasses the entire planet. WOT tells the story of this age lace from the point of view of the players key to every major and most of the minor events which are key to the massive social, political, and military upheavals which encompass the entire globe.
So yes it is a BIG BIG story. Jordan made a concious decision to tell the stories of many events which most authors would have occur offscreen and characters to which most authors would make only a passing reference. It can be absolutely bewildering, especially in later books if it's been awhile since you've read previous books. The cast of named characters numbers in the hundreds if not thousands. Some minor characters which only make a brief appearance in early books sometimes reapear later in the story having been wrapped up in the Age Lace. All that said it is immensely rewarding. Stories on this magnitude are VERY few and far between and in my experience nobody has ever written in this scope as well as Jordan did before he passed. The story slows down in a few places, in particular shortly after one extremely major event where Jordan spends an entire book showing the ramifications and reactions of various groups to that major event. As a stand alone book that book seems slow and as if nothing happens, but as a chapter in a much larger book it makes much more sense.
Anyway. Stick with it, ignore the skepticism. You won't regret it if you get all the way through.
Oh and a hint to all thikning about starting it up. Check your local used book stores. Sometimes you can pick up the entire series on hardback for a few doallars per book.