I've had this happen occasionally when using pre-wound bobbins if there's not much thread left. Of course, if you're just starting out, you probably have a full bobbin. Some other things to check (I've done all of these incorrectly at one time or another): - is the bobbin in the right way and is the bobbin thread properly inserted into the tension 'groove' (don't know what it's called)?
- is the needle inserted correctly? If your machine can also do regular sewing, have you tried just sewing a seam to see if that will work properly? I'm sure others on the group will also have suggestions. Hope you can get it going, because this sure is a fun hobby!