Keeping Track of Finances

I’ve been really confused as to how I can mange my finances. I always find myself lost every time I try to remember how my money was spent, and ran out faster that I expected. I think I need a personal budget software badly, just to help me take care of keeping track of my finances, record all my in and out transactions, and audit all my expenses.
Even though I try to stay on a certain budget, I always fall short before the end of the month causing me to increase the amount that I have already set for my monthly expenses. At least if I have a record of all the expenses and the amount of money coming in and out of my pocket, I would know how to manage my finances and where to cross-cut, or what to put higher priority on.