Read this post by keagirl on her blog, UroStream. It is a great and entertaining description of her first time placing a Foley catheter in a patient. The reason I link to it is because this was exactly what happened to me too the first time I tried placing a Foley. I was obviously very embarassed, and my resident who was with me at the time instructing me, was thankfully being very patient ... although I could tell she was feeling slightly sorry for my girlfriend.
Anyway, I was going to write about this experience myself at one point, but I procrastinated and keagirl unknowingly beat me to it. Maybe it's for the better, as she probably describes it better than I could.