Hello Tom,
What you would appear to have is a 'die nut' which is mainly used for cleaning a thread rather than cutting a new one.
The correct method is to use a split die. If you look at the die itself it has the size stamped on one face, this face is to be showing when the die is in the holder and identifies the 'cutting side' of the thread.
As Jason describes, slacken the two outer screws and fully tighten the center screw to open the die ( a lot of cheap die holders do not have a sufficient point ground on the center screw to open the die so be aware), and then lightly tighten the two outer screws.
Apply some cutting compound , Rocol or something similar to the rod to be cut and place the die on the thread with the 'cutting side' in contact with the rod.
While trying to keep everything square, rotate the die holder clockwise (RH Thread) for about half a turn and you should feel the die bite into the rod.
Back off a quarter of a turn and then advance again half a turn.
Repeat foward half, back a quarter until the full thread is formed.
Now, the thread may be too tight for a nut to fit on, so you need to slacken the centre screw slightly and re tighten the two outers,and then run the thread cutting process again. repeat this until your nut etc fits properly on the rod.
Hope this is of help
Lofty