Apply hard pressure and a slow, steady stroke. I use cotton balls with petroleum jelly squished into them and they light first strike.

I use the Light My Fire brand of firesteel, they work very well. I have found that not all firesteels work equally, some are definately better than others.

I got a little carbide striker from firesteel.com for under $2 that makes the firesteel work much better than the included strikers.