Wrap the thread around the needle, use your fingers to press and make a tight fold.
Slide it off, and place the needle on the thread helping it go through the eye.
-or-
Give the thread a twist, squeeze the thread tightly between your thumb and forefinger and push the thread through the eye of the needle.
*I prefer this method! If you still can't get it to go through, try snipping off a little thread at the end. Just the process of trying to thread a needle can sometimes cause the end of the thread to fray and make it difficult to thread.