Okay, I didn't think it was really that intuitive and the manual wasn't that easy for me to understand, but I figured it out. I used some yarn so the points would be more visible (It didn't fit, but I hope you get the idea).
1. Bring the thread from the spool to the guide at the top. There were several types. The small disks may be flat or upright, or it may just be a guide without the disks.
2. Bring the thread down to the slot at the bottom of the tension mechanism. It may look solid, but there is a cut or slot to bring the thread up into. Pull this up.
3. It should now hook through the small hook end of the spring that is visible. It is like a small wire.
4. Now, pull the thread up to the arm. You don't "thread" it, you slide the thread into it through the slot.
5. Take your thread down to your needle. On one of my machines, it has a little dent at the bottom to help guide the thread. Another has nothing. From here, it's just like any other, pull thread through the guide on the needle. Needle threads left to right.