In order for the thread to be placed on the bobbin, the bobbin threading mechanism must be engaged on the sewing machine. All machines are different but they all need you to engage the bobbin winding in one form or another.
The brake may move toward the bobbin that is about to be wound or the bobbin on the holder may move toward the brake.
The center of the hand wheel at the end of the machine may need to be loosened to engage the winding process on your sewing machine.
Power the machine via the foot pedal or a start button on electronic machines. If the brake is properly set, the machine should stop winding on most machines when the thread fills the bobbin.
Note: As always the sewing machine manual for your sewing machine is the best guide to operating your particular sewing machine. Finding A Sewing Machine Manual