I'm with CQ. Drag out the book. Make sure the spool is loaded in the right direction.
you haven't said which brand an model machine you have. there's probably a little thingamajobber you can't see in the long space where the thread goes down for the first time. if the thread is on the wrong side of that part, your thread won't go smoothly through all the hoopdedoops that regulate tension and will break.
if there's a store near you that carries the same machine, take a spool of thread with you to the store and try threading a floor sample. have you asked a friend to try threading it to see if they have the same problem? that will tell you whether it's your mistake or a machine defect.
if it does turn out to be your mistake, don't feel too bad. we've all goofed it up at least once. i wish i had a dollar for every time i have. :lol: