How's http://canonical.org/~kragen/tmp/tamiltamiltamil.ogg? I've never tried to utter a retroflex approximant before, and while I think I might have pronounced it correctly, I think I'd have a hard time reliably distinguishing it from a retroflex tap or a voiced (really) alveolar approximant.

As for learning to distinguish X from Sh, and the Ch/J/Zh/Q and C/Z distinctions in Mandarin, I think your beliefs may have swung too far from one pole to the other. It took me six or seven years to learn to pronounce American English [ɹ] correctly, and I made lots of hearing errors during that time as well. It can take time to learn to hear phonetic differences. Unsurprisingly you weren't able to learn the difference between [ɕ] and [ʂ] in a single fifteen-minute session, but if you'd done two fifteen-minute sessions a day for two years, you'd almost certainly get it. In fact, you might find that it only takes you a few weeks!