You have described your problem just fine. Have you just changed the needle in your machine? If so, check it is in the right way, you want the flat shank to the back.
The needle has a scarf (scoop out) at the back - if it is facing to the front then the rotary hook (bit that goes around the bobbin and catches the top thread) can't catch the needle thread behind the needle.
Also check needle is fully up into the housing, this could also cause problem.
I'd suggest that you visit
www.sewingabout.com and check out the pages on general sewing machine use, care and threading up, lots of helpful pictures and information which may be of assistance to you.
If it isn't your needle backwards (very easy to get wrong, happens all the time), then the timing could be out, which isn't so easy, but as its new I'd be very suprised if this was the fault. Just check needle, make sure top and bottom threads are threaded correctly and have another go. Also, remember to turn flywheel towards you.
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