I haven't used my PE770 in ages (too much going on!), but these Youtube videos helped me a lot after I unpacked my machine:
https://www.youtube.com/watch?v=epHN...vFO4MP&index=1
https://www.youtube.com/watch?v=cjgF...vFO4MP&index=2
https://www.youtube.com/watch?v=R2TE...vFO4MP&index=3
I purchased my machine from Amazon also. If the above doesn't help you, you can return the machine to Amazon as long as you are within the return period (which I think is 30 days from date you receive the shipment). Assuming Amazon was the seller, they will pay for return shipping if the item is defective and give you the choice of a replacement or refund. Very easy to do. Go to "your account" at Amazon, look at your recent orders to find the machine, then click on "return" and it will walk you through your options.
However, these machines have been out awhile and are pretty reliable out of the box. My bet is that you are missing some key points about the threading.