Think D-minor. Take a look at the guitar solo. Listen to it and don't be phased by all the flurries of quick notes. Try to feel the scale notes by picking them out slowly on your instrument.
You should listen to the tune and get the feel of it. It has a syncopated rhythm, so if you're not such a good sight reader, you should just listen and play around with it a while.
The natural minor is most closely related to a major scale, in that it uses the same notes as it's related major scale but simply starts an ends a minor third below. (That's one and a half tones lower - Eg: C => A ) The melodic and harmonic minor scales have notes that are altered by # sharpeneing them one semi-tone higher than they were. In the case of the melodic minor scales, this depends on whether the scale is ascending or descending. Actually , we can see upon investigation, that the descending melodic minor descends down exactly the same notes as the natural minor scale, so really it's only slightly altered when ascending. This gives a beautiful turn around effect.
This is a solo transcription. You can pick out bits and pieces to use in your own improvised solos. It seems to be more of a melodic minor than a harmonic minor. They are very similar except the melodic minor scales have a slight difference in ascending ( going up ) compared to descending.