this machine is a piece of garbage. i had the same problem, but finally figured it out.
1. find that little L shaped tool attached to the cord.
2. insert it thru the slots in the shield in front of the machine [or you can slide the shield off]
3. loosen the 2 bolts behind the shield by turning left [but not too much or the bolts will slip out, tiny parts will roll out which you will have to search for, and then you will have to reattach the thingamabob]. [the bolts may be very tight]
4. then, jam the blade in as far as you can, tighten the bolts back up, and make sure the blade is secure.
[5.put the shield back on if you removed it. you dont want to trust this 'machine'. i can't even cut foam rubber with mine!]
my advice is to return this and get a Black and Decker.
The two hexnuts face the front of the cutting assembly and are found under the clear plastic. You have to reach through the slits to loosen the hexnuts, slide the blade in, then tighten them. Make sure your blade rests against the roller when cutting or you will bend the blade and possibly the blade holding assembly.
Extremely poor design.