You really should take the advice, you really would enjoy the heroin snorted/plugged/ect.
But I know the feeling, that desire to feel that rush or euphoria. So if you are set on injecting, please read the links that amapola posted. You really should have somebody else inject it for you the first time. It takes practice and experience to get good at injection and watching somebody else hit it for you help tremendously. If you keep poking at your veins trying to hit it and miss countless times, many complications could arise. I've been there and I gave up trying until I was exposed to it countless times with my experienced friend. Then it became like tying my shoes, so easy.
Heres all I can try to advise typing over the internet. Also know that there are online guides with pictures/drawings instructing correct/safe injection techniques:
Slowly insert the needle (with the bevel facing upwards) above the vein, angled in the direction the vein is traveling.
Insert it at a 30 degree angle with your arm, almost like the needle is parallel with your arm. You don't want it stick it down too deep because you will simply slip through the other side of the vein and run the risk of hitting an artery.
As you are inserting the needle pay attention to how it feels. When the needle has successfully entered the vein it should feel like it is suddenly sliding in a little more easily. If you are using a dull needle (use a new one every time!) you should actually feel it "snap" as it pushes through the vein wall.
You can also pull back on the plunger ever so slightly as you are inserting the needle and as as soon as it is in a vein some dark red blood will pull back. Simply stop, and pull back on the plunger more and register to make sure. Once you know you are in the vein and have successfully registered blood, start pushing the plunger down. You shouldn't feel ANYTHING as you inject the heroin if you are in fact in the vein correctly. If you feel a stinging sensation, stop injecting immediately. This is usually a sign that you are missing and the solution is just collecting under your skin.
Thats the best I can do. You really should read about it online before you jump in and try to inject anything. There's really no way we can type how to inject heroin. There are so many other things we could advise about such as what happens when you hit an artery, warm compresses after a missed shot, abscesses, etc.
Be smart and learn before you try to do something like this that can be dangerous.