All of our instinctive behavior can be traced to our evolution in the primitive environment of early man.
Females, to ensure the survival of their children, seek two things in a man: the strong, brash, risk-taking, arrogant type A, who will provide genes to her children useful in hunting food and defending against attackers; and the nurturing, caring, thoughtful type B, who will stay with the children and provide for them.
These characteristics are often not found in the same man. Interestingly, women find type A more attractive when they are ovulating (i.e., collect the good genes when the time is right) and type B during the rest of their cycle (i.e., increase the chances of the children being cared for).
How is this information useful to the frustrated young man in 2009? Not much, except to help explain the often mysterious nature of women's affection.
Advice: Be yourself, don't be meek or show insecurity (lack of confidence is a real turnoff), and don't be mean. However, good-natured teasing often has excellent results.