First, know you're not alone! About 25 percent of us report difficulty achieving an orgasm.
The most commonly used approach to treat ‘primary anorgasmia’ (the medical term for a woman who has never had an orgasm) is what is called ‘directed masturbation.’ The amount and intensity of stimulation is variable from person to person, as well as the time required. Ninety-five percent of women are successful--which means, unfortunately, five percent are not. The women who are most successful masturbate at least once a week; for some women it can take up to 10 weeks to experience an orgasm. The majority of women use additional stimulation by way of erotic DVDs (or other visual erotica) and/or vibrators.
Many of my patients, especially as they get older, find they cannot have an orgasm without a vibrator. Yesterday I had a patient in the office who has never had an orgasm without a vibrator.
Using vaginal estrogen can improve sensation to the area (assuming you are menopausal); a warming lubricant or oil can help, too. Start with applying only a small amount of warming lubricant to test your reaction, because if the tissues are thin and sensitive, you might feel some uncomfortable burning.
There are also physical reasons some women can’t have an orgasm or have weaker orgasms: neurological disorders (Parkinsons and MS, for example), surgical conditions (having had pelvic surgery), clitoral adhesions, medical disorders (diabetes, vascular disease) and medication side-effects (antidepressants, antihypertensives, and others).
I understand your frustration. I encourage you to keep practicing--and to experiment with resources available to you!