French knots are the bane of any stitcher. Many will completely avoid any pattern that calls for them while others will just suffer through them, never being satisfied with the results. There are ways to build the knot easier though. One tip that Ive heard is to make use of a beading needle. Since it is so much smaller, the knot will not be pulled through the fabric. I still recommend using two threads and wrapping it twice around the needle though.

Another alternative is to make use of a colonial knot instead. This knot is easier to do, and creates a similar result.

How to build the colonial knot:
Pull the thread through to the front of the fabric.
Put the thread over the needle, from front to back. Note: Hold the thread in your non-needle hand between thumb and index finger. Push the thread to form the loop.
Pull the thread under the needle, then up and over the tip of the needle. This is critical to the colonial knot. Note that this will create a figure 8. From this point, the colonial knot is exactly like the French knot.
Insert needle tip going over one thread to the upper right (to NE).
Pull the working thread very firmly so the knot slides down the needle shaft and rests on the fabric. The coils must be tight.
Pull the working thread to the left of the knot. This is critical to success. Put your non-needle thumbnail smack on the knot, thus holding the knot and the working thread against the fabric.
Keeping tension on the working thread and your thumb on the knot/fabric, send the needle to the back, letting off tension just as the eye of the needle passes through the knot. Make sure the left thread is still lying to the left so it will come to rest properly. Tighten.
Keep thread tension to next stitch firm so the knot stands up.

A great diagram of the stitch may be found at http://www.marthabeth.com/colonial.gif.

I would also recommend using a needle with a smaller eye since a larger eye can disrupt the coils as it goes through.