The thing to understand about Wuthering Heights is that the majority of it is told as a story-within-a-story, primarily through Nelly (one of the servants) telling Lockwood (the new tenant you meet in the opening chapter) what happened. The characters that Lockwood meets in between Nelly's storytelling sessions are intended to be slightly ambiguous (who are they? how did they get here? who married who?)—Bronte is essentially giving you some puzzle pieces to try to put together on your own as the story unfolds.

However, it's okay to be confused about the characters in the "current" (Lockwood) timeline. As long as you keep track of who's who in Nelly's storytelling (and that in and of itself is a bit of a challenge), you'll enjoy the novel.