I had the same problem and went back to the shop twice to learn to thread it. Then I realized what my problem was.
I had learned to thread it in order of the instructions and I should have focused on learning to thread each looper regardless of the order. So I went back and we threaded each individually regardless of the order and I finally GOT IT. The instruction book should be tossed for what good it is.
When you get it threaded try and be careful and not let the loopers get unthreaded. I am sure you know this but when changing thread, tie the next color to the end of that on the machine. Watch the path as the new color goes thru the loopers. This will reinforce the threading.