Soldering is a lot harder than it looks and like many things, practice makes perfect. Essentially what you are doing is melting metal and using it to form a good strong conducting joint around two or more wires. The solder is a thin piece of metal containing tin, lead and a chemical called flux. The flux is the cause of the smoke that comes off when you melt a piece of solder on the soldering iron and prevents the wires from oxidising. A new iron has to be 'tinned' first, which means you have to put a coat of solder on the tip of the iron. Also make sure that the metal you are soldering is clean and free of grease.
The key to good soldering is to do things in the right order.
Note: the soldering iron, melted solder and joint are hot - be careful not to get burnt. If you get burnt run cold water over the burn for a couple of minutes.