Ceil - Welcome to the wonderful world of machine embroidery. You will be frustrated and elated and much in between. It is a hobby that will take over your life and become a joy. However, to start, there are a lot of things to learn. I do highly (IMHO) recommend this forum for questions and helpful people. I also recommend that you go over the forum PE700 instructions that I created. While they are for the PE, they cover any machine and are general 'start' instructions for your success.
The only thing that I can think of concerning your bobbin is that you are using the wrong bobbin. Be sure that you use the bobbins that come with the machine. There are two for 'home machine' use, a Class L and Class 15. I am uncertain which your machine uses. Don't try to use sewing machine items with your embroidery machine. I have spent the last 3 years writing blogs for newbies and experienced embroiders.
You need to look at this matrix as to why one works and not the other. The 1/8" between the two bobbins definately will make trouble for you. And, incidently, I truly recommend using prewound bobbins ONLY. The reasons are many but just know that they are cheaper than winding yourself should be enough for most of us.
Another of my blogs that I think will be of real help to you is my Needles blog. While it is over 3 years old, it still has accurate information.
Ask a lot of questions and read as much as you have time to do so. Your manual will discuss your machine only, and embroidery is a world apart from anything you have done before.
Email me, my email address is in my profile for any questions. Better still, put them here in this forum for others to read, help and probably learn from your issues.
Pat, The Avid Embroiderer