Step 1: General Sewing Terms.
Wrong side - This is the back of the cloth, the un-patterned side, the side you don't want people to be able to see. Usually the wrong side of the fabric ends up on the inside of your sewing.
Seam - The line where the stitches hold two bits of cloth together.
Step 2: Thread.
1. Hold the reel of thread in one hand and the loose end in the other.
2. Put the hand with the reel under your chin.
3. Stretch your other arm out away from you as far as it'll go letting the thread unravel as you go.
4. Chop the thread next to the reel with sharp scissors so you get a nice blunt end for threading your needle.
Single thread. (First Picture)
This is good to use if you are worried you might go wrong. It's really easy to take off the needle and unpick a few stitches, then just re-thread the needle and carry on. You need to watch out that you don't pull your thread out of the needle by accident while sewing though, or get the free end tangled up in the stitches. The arrow shows you where to tie the knot.
Double thread. (Second Picture)
I like to use double thread as it's a bit stronger, good for stuffed items. I love making stuffed items! The thread can't slide out of the needle while you are sewing, so you can maybe go a bit faster.