Everyone is different, so firstly don't feel bad if something doesn't work when people swear it does
In the beginning it'll take some time to learn how to orgasm. That sounds weird but it does.
Personally the clitoris works best, and I've found among most of my friends that vaginal stimulation doesn't cut it.
Also, look into the science behind orgasms. It's both fascinating and very helpful in learning your body.
Mostly have fun, and be safe. Don't put anything into your body that isn't meant to be, and try and wash your hands before and after.
And fun fact: you don't actually have to be turned on or horny to masturbate, benefits of being a woman