Al's method is correct for the "old" style extractor that looks kinda like a tap with elongated, shallow "threads" that have a "left hand twist".

If you bought the newer style extractors that have the two pieces with the point looking something like a two bladed counter sink bit, and an upper piece that looks something like a nut then that is used in a reverse rotation drill. If you bought it new it should have an instruction sheet with it. Ignore the usual male impulse and read them. These take some getting use to.

Then if you get it all screwed up you can learn about helicoils.