http://www.knittingnow.com/patterns/ssockspat.asp
This one also has a good description of how to do join and avoid a jog.
Do you have all your cast on stitches?
Do you have them distributed among your needles (are you on 3)?
Are you sure there are no twists?
If so. the middle needle (for the start) will be the flat part of the triangle you will make with the needles. The needle on the left slanting toward you will be the one with the first stitch you cast on, and the needle slanting toward you on the right with the working yarn will have the last stitch you cast on (assuming you did long tail cast on). Sorta like this...ignore the dots, they just help the picture line up.
................................. _______
.................................. \.......... /
....................................\........ /
.....................................\...... /
......................................\... /~~~~~~
............................First CO....Last CO with working yarn
You then take your fourth empty needle and using the working yarn knit through the first CO stitch on the left needle. The site above has you knitting into the back of the first stitch with your tail and then with your working yarn starting the round (I'm kind of assuming you'd then knit into the front of the first stitch then with your working yarn...Kelly K used this pattern, she might have some advice on it).
Hope that helps a bit. What size needles & yarn are you using? It might be easier at first once you get the hang of it to use a larger DPN and heavier yarn.