Just as in English you say I am going to and talk about the future, Spanish does the same with voy. The difference is that Spanish adds an a before the next verb, even though that verb already means "to" something.
voy + a + verb · quiero / intento + verb (no a)
Voy is a verb of movement, and when a "to" form follows a verb that carries motion in its meaning, Spanish wants to show that feeling of motion. So the a goes in, even when you are not actually moving and are only using it to speak about the future.
Voy a confiscarlo · Voy a examinarlo · Voy a verlos · Voy a intentar
Verbs that are not verbs of movement take no a at all.
Quiero verlos · Intento verlos · Quiero intentar
Pasar is to pass and to pass by. Seeing the rule with a second verb makes the concept clearer than voy alone: it is the movement in the meaning that triggers the a, not the word voy.
Voy a pasar a visitarte.
Chaining them is a good exercise in deciding which verbs take the a and which do not.
Voy a intentar pasar a visitarte · Quiero pasar a mostrarte algo
Lo is it or him. To make it plural, add an s and you have them. English hides this, since him and them look nothing alike and we never think of one as the plural of the other, but in Spanish it is obvious.
Besides him and it, lo also means formal you. So visitarlo is to visit him or to visit you speaking formally, and visitarte is to visit you informally.
Quiero continuar · Quiero continuarlo · Intento continuar · Quiero mostrarte algo
Demostración is demonstration with the n dropped, so the verb is demostrar. Strip the de- off that and you get mostrar, to show.
demostración → demostrar → mostrar
For I want to carry on, the skill is to find the Latin equivalent of "carry on": think of a -tion word to do with carrying on, arrive at continuation, and you have continuar.
The important thing is to take the time to have those thoughts, and to stay relaxed while you do.