Yours is just a tad different than mine but it threads the same - Ours don't have that part that the thread goes between two pieces and out the top. Bring the thread to the other side from the last picture and install the bobbin case by pinching top and bottom and listen for the click.
My guess is that it isn't going through the upper tension properly. It is kind of a pain to get it right. I have mine threaded with green thread. I probably should thread with a brighter color and take a picture. There is a notch "A" that the thread kind of snaps into after down under the tension plate hook from front to back. Pull up into spring and back behind and into notch "A" to prevent looping of stitches under fabric. It is behind the wire type thing so it isn't very easy to see.
Bring bobbin thread up and hold top thread and bobbin thread to the back. Maybe about three or four inches behind.
Janey - Neat people never make the exciting discoveries I do.