In all likelihood, not inserting the blade far enough, or trying to twist it from the tip of the blade rather than the base.
Usual caution: always unplug/take the battery out of the jigsaw before messing with the blade!
To change the blade:
[list type=decimal]
[*]Turn the saw upside down. (All directions will be given with the assumption that the saw blade is pointing up, with the battery compartment pointing towards you.) Unlock the green lever on the left side of the Carvex to remove the current base.
[*]Push the black sliding switch on the right side of the tool forward all the way. This pushes a tab that twists the locking collar for the blade to its open position (counter-clockwise). It will also (rather forcefully) eject the blade if one is currently installed (make sure it's not pointing towards your face).
[*]Take the new blade and firmly insert it into the collar. Festool blades have a T-shaped cross section; if you have properly inserted the blade, this should be entirely seated into the collar and not visible.
[*]Grip the blade at its base, where it meets the collar, and firmly twist clockwise, while maintaining downward pressure to keep it firmly seated into the collar. If you have it inserted all the way, it should require only moderate force: if it halts and won't turn at all, you don't have the blade properly inserted, and attempting to force it will likely damage it.
[*]Reattach the base and pull the green lever back to lock it into place again.
[/list]
