To describe with words, here is how I tie a rope halter:
Put the rope through the loop from the top down (from the back of the loop, so to speak), like a normal halter.
Wrap the rope around the right side, under the loop ( or under itself, above the loop, like in the picture shown below), and pull the tail through where you wrapped it over.
Is this how you are doing it? Perhaps your halter is made of some kind of material that is slick/doesn't tighten well? This should hold no matter what, because of friction.