Should I ask for help on a vac scheme?

I am on a vacation scheme at a City law firm and being set all sorts of tasks, but I am not sure when I should ask for help?

On my second day on placement, I was set a task that I thought was fairly straightforward at first. However, about two hours in, I was really struggling, but felt too embarrased to say anything to my supervisor because I had left it so long before asking. When is it too late to ask for help? How should I handle difficult tasks in the future?