Throwing on the wheel is a skill that takes practice. Hours and hours of practice. It is something that may, at first, feel frustrating. Try to stay clam and focused. Try to stay positive and keep your mind on your clay. Don't worry about the other distractions in life. One of my most beloved art teachers once told me that there was only one person throughout the course of his entire career that he wasn't able to teach how to throw on the wheel, and it was because she could never keep the other distractions of her life - work, school, relationship troubles, etc... out of her mind. Try to clear you mind and become one with the clay while you are throwing.
Make sure to check out the links below that contain step by step pictures and videos.