Re thread the machine. Make sure the thread is in the tension disks. Follow Steve's suggestion on adjusting the upper thread tension.
It is also possible the presser foot is too loose. On most machines there is either a thumb wheel or screw that you can tighten to apply more pressure on the foot.
On some machines when the presser foot is lifted, it releases the tension disks to allow the thread to move freely when moving the work out of the machine. If the material is too thick and doesn't allow the foot to fully come down it will not allow the tension disks to tighten. (This usually manifest itself on multiple layers of fabric)
Is the tension OK when sewing 2 pieces of fabric together?