Also - look for some utube videos of demonstrations showing FMQ. I watched a ton when I was starting out.
Along with what everyone else told you, check to make sure you have your machine threaded correctly and the bobbin is going in the correct direction. I have been quilting on mine for 4 years and never had a problem until I put on a new spool of thread (good quality). I couldn't keep the thread from breaking and needles breaking right and left.
I finally put back on the previous thread and no problems. I emailed the mfg and they replaced the thread for me.