Jesus assures in Matthew 11 - "28 Come to Me, all you who labor and are heavy laden, and I will give you rest. 29 Take My yoke upon you and learn from Me, for I am gentle and lowly in heart, and you will find rest for your souls. 30 For My yoke is easy and My burden is light.”

This question may be just a stupid one but I wish to understand why is it so hard for people to come to Jesus and tell HIM about their problems and get relief rather than running around and burning money and wasting time and energy?

Because people don't want to first admit they are wrong, admit they need help. Others don't even accept there is a God.
Man's wisdom wants to disprove God.

Well said.

Because Satan's yoke is still upon them.

I believe it is because of the lack of knowledge and understanding of how much the Lord loves us and desires us to be one with Him.
Knowing Jesus is not a religion, He want's to have a relationship with us.

I believe it is because they think only praying is mostly useless behavior that gets them nowhere. In order to get something accomplished, they think all they have to do is some kind of work and/or spend some money on/for something.

Is it true that "God helps those who help themselves" ~Algernon Sydney, Discourses Concerning Government (1698)?

You know sometimes Penence and Alms can be beneficial for ones self but maybe your referring to why people spend money on therapist and stuff like that and my only answer to you is probably in their own ignorance lest you just want to pay for a friend to blabber to but that's such a waste...

Because they're idiots? No, I think it's more that they're unknowledgable about God and are trying to fill the hole in their heart with worldly things. God has a bad rep because of "Christians" (Quotation marks for a reason!) that people just push God away because they've been hurt by someone who says they're a christian... so they don't want to search for the True answer... instead, they go for all this stuff they think will save them from unhappiness, and end up failing miserably.