To start embroidering, you'll need the following items:
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embroidery hoop - this is a ring consisting of two parts. You put the fabric in between the hoops - this helps keep it taut, making the embroidering easier.
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small, sharp scissors. You can find these under many names.
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your fabric of choice! In most cases, this shouldn't be loosely woven or too stretchy. Simple quilting cotton will work fine.
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embroidery floss. This is cheap and comes in TONS of colors.
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embroidery needles. These have bigger eyes than normal needles to accommodate the size of the floss.
Any advice?
If that's not what's happening, I'd make sure to wrap it at least two times, and hold the thread taut until the thread loop forms and starts to goes through the knot. Sometimes it can be tempting to let go too early. I've done that too and had it unravel. :)
This is a good video, too, if you think watching it being done might help:
http://www.youtube.com/watch?v=ul8XT72oA68
http://www.venganza.org/