I do not have a Brother machine, but when I first got my Babylock could not figure out how to thread it either at first. It just took placing the thread behind a tiny little
"outcropping" piece just in front of the needle, before
looping it through the last area to the left where I cut the thread. Probably makes no sense, right, but it was just a
tiny thing I was missing & once I "got it" it was simple.
Good luck.
I had taken it back to the dealer 2x & they never bothered to show me EXACTLY how to do it, they would just auto-thread it to show me that it worked. LOL