I agree with you that we can't believe anything are telling to us without a proof to assure us we are following the truth.
I can understand your situation as you are from the west which the Christianity and the Church dominate people's minds there and order them to follow what is telling to them without giving any explanations and evidences on the things which they preach.
If you give yourself the chance to explore what Islam and what is it about , I think you will find what you are looking for.

Here is another story for some one who knew the truth:
"Why did I Embrace Islam?
This is an extract from Dr. Gronier, a French MP, who embraced Islam. Revealing the reason of embracing Islam he said, I read all of the Ayat (Quranic verses), which have a relation to medical, health, and natural sciences that I studied before and have a wide knowledge of. I found that these verses are totally compatible with and give a picture of our modern sciences. Thus, I embraced Islam as it was obvious that Muhammad revealed the Absolute Truth more than a thousand years ago. Had every specialist, artist or scientist compared those Quranic verses to his own specialization, beyond the shadow of doubt he would embrace Islam, especially if he has a sound mentality and goodwill to search for the truth and not a mentally defective person with the intentions of malevolent aims".

Insha'allah I'll be happy to answer your questions as best as I can and hope you feel free to ask me anything you want.
Please check out this site and tell me what do you think about it:
http://www.55a.net/firas/english/index.php
Best Regards
MOHAMED FATHI