Does it cut paper without tearing? No? Then use the coarse grit. This removes a lot of material so be sure of your angle and go light.
Now remember, at each sharpening stage you have to double or triple the time on the stone. Once the coarse gets you to cutting paper then move on to medium, 400 grit or so. The pressure you use is always light, most beginners don't realise this.
Then go fine, 800-1000 grit. And then hone 2000+. And finally, you should strop. Remember that at this step you drag at a slightly higher angle than with the stones. Each step makes the burr smaller, and then finally removes it. It's a lot of steps, but once you do them you shouldn't be back to coarse for a long time, basically you can hone and strop to just maintain that edge.
You can get it to shaving sharp right away but it will be a bastard on your arm because of the burr. Remember that you can inexpensively add to your grits with wet/dry sandpaper (or micro-abrasive paper), carpet tape, and blocks of wood.
Also, what technique do you use? I always liked this technique (at end of video, and a few other parts):
https://www.youtube.com/watch?v=dcoTnER4Efg
Notice the light pressure. Use a circular motion and then near the end take a couple swipes along the edge to reduce the burr.