Did the site you bought it from say if it was a twist on or not?
The wood ones usually just push on. Put it on as best you can, then turn it upside down and slam it straight down a time or two on concrete or asphalt. That's the way my farrier always puts his on, lol.
Some are screw on though. You'll need to put some elbow grease behind it and really push hard while twisting the handle (righty tighty!). I would try twisting it first, and if that doesn't work, try banging it on.
I have the plastic kind that screw on. Save-Edge Rasp Handle