The needle is suppose to go in the oblong opening, not the round hole. That is for thread to come through from the bobbin if you're doing bobbin work. When I took the lessons that came with my machine on how to attach the walking foot: Move the needle position all the way to the right. Lower the feed dogs. That makes it easier to slip the little hook (clamp) over the needle tightening screw. Then slide the attaching hook down on the back like any of your other feet.
Hope this helps.