All the answers you have been given so far are right on the mark. You did not say what brand of machine that you bought… but Yahoo groups has a group for just about every type of machine. That is a great place to go next. You will find people with the exacty kind of machine, and they are great at helping out.
A good relationship with a dealer is key. You will have tons of questions. Do they offer classes on embroidery? Most have free classes when you buy a machine from them.
It is not a cheap hobby, but very rewarding. The set up is the most expensive part. Once you get the thread, it will last a long time. Depends on the size of the design.. but you will not run out quickly.
Where did you get the design you are trying to stitch? There are tons out on the net free, and not all are created equal, some stitch out better than others.
What type of stabilizer are you using? When I first started, I had heard that coffee filters work.. they do, to a degree… if it is a simple design, ok.. but if if has many stitches, or is not the best design to start with, it does not. The correct stabilizer is key also to a design. Different fabrics take different stabilizers.
There is a learning curve… that is for sure. I have had my machine about 6 years now.. and I love it.. but I can recall the same things that you are going thru…

Bobbin thread is thinner than regular thread, so it lasts a lot longer, and takes up less space on the bottom of your embroidery. I always use bobin thread unless I am making something that the back would show, like lace. Some machines are just plain picky about thread, and you don’t know it untill you start using them. Embroidery threads are generally shinier than regular sewing thread as well. Just experiment to find out what works for you.

For best results, you need to use embroidery thread in the top and Bobbinfill in the bottom. For a beginner, rayon 40 wt embroidery thread is a little easier to handle than the polyester. Bobbin fill is 60 wt cotton and is very fine. I buy prewound bobbins by the gross online and they are very inexpensive and easy to use. If you are getting a lot of thread “nests” under your hoop from the bobbin, I would give your bobbin case a very thorough cleaning and make sure you are using the correct bobbin for your machine. Sometimes “universal” bobbins don’t fit quite right–just off enough to give you fits. The thread on the bobbin needs to be wound smoothly–no loops or uneven places. Also make sure you hold the top thread securely at the beginning of each new color, to make sure the bobbin is sewing correctly.
The reason for the special embroidery threads is that they are spun much finer to lay closely together in dense stitching. Bobbin fill is finer still to pull the top threads to the backside. Regular sewing thread is made to hold a seam together and is not designed to handle the density of the average embroidery.

Embroidery threads are constructed differently then your average sewing threads. You can use regular thread for small items but so-so results. However for the best results your should use embroidery threads. Most are made of rayon vs. the polyester-cotton threads for general purpose sewing.

As for the bobbin thread – the price may be a tad much but not overly expensive. The bobbin thread is specially spun to work at the high speeds and stitching tightness of embroidery machines. In the long run, I think you’ll be happy your purchased this spool and it really does go a long ways. I’ve done appx. 30 designs with my machine and am only half way through my first wound bobbin.

Here’s a link for you . Hope it helps.