"This is my problem."
Translation:Это моя проблема.
This problem is difficult - Эта проблема сложная
This is my problem - Это моя проблема
The difference is that in the second case 'this' is used as a subject (you could replace it with a noun), while in the first case it's used as an attribute (you could replace it with an adjective).
Also, not all words ending with а are feminine.