I don't know really anything about this machine, but if it is the actual shuttle that goes with your machine, I'm wondering if you have tried to turn the bobbin over so that the thread is 'facing' the other direction. After reading the instructions that Jon referred to, it kind of sounds like the thread should be coming up from the bottom near the slit that Steve pointed out - not over the top before going into the slit.
Janey - Neat people never make the exciting discoveries I do.