When I read your question I automatically thought about Go Ask Alice-- so here's the answer she would give you:
Both men and women can have difficulty having the BIG "O," although it's more common among women. For many people, becoming orgasmic takes practice. Masturbation helps people figure out what feels good and what helps them build tension toward orgasm. Having already taken matters into your own hands, you've taken a step in the right direction.
Levels of concentration for orgasm vary for everyone. Some find it helpful to "be in the moment" and focus on sensation, feelings, and intensity, rather than worry about the anticipated end result. You many want to try to relax and enjoy the experience instead of concentrating too hard on reaching orgasm. Reducing pressure you put on yourself, taking the time, romancing yourself, and creating an atmosphere that turns you on can elevate the experience. Also, your thought patterns can influence your concentration. If you think "I'll never do this," or "I have work to do," this can work against you.
It's common for people to get annoyed or discouraged while trying to orgasm. When this happens, the trick is to take it to the next level. One way to do this is not to "give up," but to continue to stimulate yourself. Think of it as if you were on a diving board: you take a running start... when you get to the end... don't stop... take the plunge!
You may decide to take the plunge by experimenting with new sensations. People masturbate in different ways to heighten the level of sexual arousal. Some prefer using their fingers and hands, with or without lubricant. Others masturbate with sex toys, fantasy, or erotic magazines or videos. Kegel exercises can also increase sexual feeling and orgasmic intensity (see Kegel Technique). In addition, touching other body parts at the same time can add another dimension to pleasure — some enjoy stimulating their nipples, anus, neck, arms, and/or back (view Anal stimulation ain't just for gay men).
Some books provide information about masturbation techniques and orgasm, including:
Betty Dodson's, Sex for One: The Joy of Self-Loving
Rebecca Chalker's, The Clitoral Truth: The World at Your Fingertips.
Best of luck,