Learn Italian: Dai, non è difficile! - Come on, it's not difficult!

Yes, dai is literally the "you" form of the verb dare (to give). But in everyday Italian, it's used as a very common exclamation meaning "come on!" to encourage someone, show disbelief, or even tell someone to stop doing something.

Where is the word for "it" in non è difficile?

In Italian, you usually leave out subject pronouns (like I, you, he, she, it) because the verb already shows who or what you are talking about. The verb è means "is", and without another subject, it naturally translates to "it is".

Does the adjective difficile change if we are talking about a feminine word?

No, it stays the same! Adjectives that end in -e (like difficile or grande) are used for both masculine and feminine singular nouns. They only change to an -i ending when they are plural.