Usually, when that happens, it is because the needle is in wrong or threaded wrong or wrong needle system (very rare). It is possible the bobbin isn't threaded correctly. Did you follow the instructions from the manual? Is the bobbin going the correct direction and going through all the notches as shown in the manual? Is it under the spring, so that it doesn't pull as freely as it was just sitting there. Are you holding the top thread when you move the hand wheel to take the needle down and back up? Once the needle is back up and the take-up lever is back in the highest position pull on the top thread.
Janey - Neat people never make the exciting discoveries I do.