It's quite simple why they don't win, in Portugal is a subject that we talk a lot because of Mourinho, Ronaldo and stuff xD
Yesterday Madrid had several goal opportunities that could end in goal, yet they failed...the result was 2-2, but who saw the game, could see that the probability of the game ended in 2-2 was almost the same or even less then a 3-2 or 4-2 for Real Madrid.
Barcelona already everone knows how they play , it's a team with a unique game style, loves possession, rotates a lot the ball...But what people don't know is that Real Madrid turns a lot around Mourinho, because while the tactic of Barcelona is almost being themselves, Mourinho's clubs always tries TO STOP THE ENEMY. Mourinho is constantly trying to stop the other teams, creating tactics that aloow the opponent temas to change their game style and lose....
The problem is that Mourinho never played against a team like Barcelona...his tactics result against Man Utd, against Chelsea, AC Milan and stuff, but those teams (not underrate them please) are way below Barcelone and thei game style...
the trick for Mourinho wins is stop thinking "how can we stop Barcelona" and more "let's play our football"....like Barcelona do. And other things that make Madrid lose everytime is that don't have the chemistry that Barcelona have...and while Messi have days that plays a little bad, in those days he passes the ball more often because he knows that trying to push the game is being selfish and he knows that have teammates....in Real Madrid, if Ronaldo have a bad game, he pushes....Benzema bad game, tries to push....It's lovely seeing that fighting spirit...but guys....there are 10 more players in the field ;)...
And the last part and more important...Like you said "if barcelona wins, I almost cry"....mentally Real Madrid players are even worst...I even say that a game that Real Madrid scores 2 goals (so 2-0 xD)...the minute that Barcelona scores his goal, Real Madrid is done...it could even be 90 minutes in the clock and real wins 2-1....but I even bet that Barcelona would tie or even win against Real....
I suggest you to see the Real Madrid´s players reactions after the 2-1 goal of Eric Abidal in the 1st round....those reactions really say "no matter what we do, if they score a goal, we are done"
sorry for long post