Please don't give up! This is the first time I've added something to a thread, but I feel for you It's all great advice that has been posted.
"Unthread" your machine and go through every step slowly and you may find a problem.
If you google How to thread a Brother PQ 1500S, you will find some utube videos. It is different from a regular sewing machine in several ways. (The threader is the most unusual to me. I use a very basic machine!)
If the thread, bobbin, and new needle don't make any difference, you might want to download the manual. It is available at
http://www.manualslib.com/manual/22132/Brother-Pq1500s.html
You might need to make an adjustment. Hang in there.
It looks like a fun machine to use, once you get to know it! Happy quilting!