Giovanni - to compare it to Italian, have a look here:
http://www.italian-language-study.com/l ... rammar.htm

It'll give you a rough idea of why you're hearing these "weird sounds" at the end of the words.....

As far as I gather on this board, Pimsleur does not touch on this at all, you're supposed to just accept it and to take it in (like a child would learn a language). It's a system that may be a bit difficult for adults : adults tend to ask the question "why?".....
I'd advise you to get a good, basic grammar book (like the New Penguin Course), so that you can look up things if you get confused.