That would be pretty if you were using that stitch to decorate a teddy bear applique :D:D:D That's quite a birds nest you have going on :shock:
I would get out your manual and make sure that you have threaded your machine correctly and that the bobbin is in correctly too..it does matter which way the thread unwinds off of it :D:D:D
Is this a new machine or new to you? If it is a used machine, I would buy bobbins that you know for sure are made for your machine and replace the needle too...
Plastic bobbins are what's reccommended for my machine...but if they have the slightest burr on them my machine gives me fits.