Do all above, and KEEP TRYING! Ive read people in this boards that needed to smoke more than 10 times until finally become stoned, so dont give up.
Yes, if you inhale properly you will feel a burning feeling into your throat. Its normal, and a good sign you inhaled properly. If you cough or choke, better. I know choking with weed is bad, but its a good sign that soon you will be very stoned.
After becoming really high, you may start to make/buying some devices to make your smoking more enjoyable. If you are like me and dont like the burning in the throat, try to make/buy a bubbler. It cools the smoke and filters it through water, so its way better to inhale.
And good luck! :thumbsup: