I had the same exact experience with my first FW. I was so excited when I got her at an auction ... they let me plug it in to make sure it worked but no thread in the bobbin or on the top. Once home, I couldn't get her to make a stitch. I fiddled with it all evening but couldn't figure it out. I'm not a night person so I went to bed frustrated. I was really upset, thought I'd wasted my money and started looking on the internet for a manual because it didn't come with one. A good night's sleep really helped. I had the needle in backwards and the bobbin in the bobbin case clockwise instead of counterclockwise. That was it. She's stitched like a trooper ever since. That was 8 or 9 years ago. This has been my baby ever since. I now have 4 FWs.... just because I got good deals on them at the time but am happy to have them. I have one at our cabin, one at my son's house where we spend our winters, and I have 2 great granddaughters that will get the other 2.
So, I know you will figure this out. And congratulations on becoming part of the FW family. There are many that don't like FWs but there are just as many that love them to pieces..... like me.