I agree about watching Jamie Wallen's video. It really helped me get started with my Voyager.
What brand of thread came with the machine? And are you using a cone sleeve on it? How the thread feeds off the cone is as important as correct threading, at least for me. Have you tried changing the bobbin? I have had problems in the past when a bobbin was unevenly wound or loosely wound.
Edit: Here are links to two Innova groups on Yahoo. One is run by the company; the other is privately owned (and therefore not subject to moderation by the company). I tend to forget which is which because the names are almost identical, but I think the first one, with the underline for a space, is the strictly user group.
https://groups.yahoo.com/neo/groups/innova_longarm/info
https://groups.yahoo.com/neo/groups/innovalongarm/info
Both groups have "files" sections with checklists and help suggestions for thread problems.
Edit 2: Just glancing at one of the checklists, if all else fails you can try turning the thread spool upside down and you can try threading through just one hole so the thread has a straight path to the tension knob. Also mentioned is re-inserting the needle, making sure that the scarf of the needle is aligned exactly as pictured in the manual. One person who was having trouble with Glide thread shredding found that hers was just a smidge off; after re-aligning the needle, it never shredded again.