Hi Monica! I had this problem too, when I first started - it took watching the video on here to get that I had to put the needle w/the working yarn in my right hand, then start knitting the last stitch to join the circle.
There's another thread on here somewhere on how to make the join tight - a common problem is that it's loose enough to look sloppy. My favorite is to switch the first and last sts, then knit them in order - there are at least couple more different ways to do it. Crud, can't find the thread right now, but it's on here somewhere.