What the heck is wrong with my hair?! It won't curl!?

No matter how hard I try to curl my hair with this new curling Iron that I bought, a Conair Infiniti Iron, it WILL NOT WORK! It just creates a singe at the bottom and looks really stupid. My hair is thick, just not intensely thick, medium length, and wavy naturally. I hold the curling iron on for about... 20 seconds?! And It still will not curl. I don't know what's up. The iron is hot enough... I don't think I'm releasing the iron right. Can anyone help me? PLEASE! :]