The internet has lots of tutorials. Note Davy Wotten's comment on the link Kyle posted. I tie the Double Davy the other way, not the way illustrated in the photos. You have to find the one that best suits the way you want to hold the hook and wrap the line. I had the same problem Joshua did until I learned to match tippet to hook wire, or to use the double Davy. You just have to play around with it enough to learn what works for you. I don't know who first tied the knot, but it has saved me a lot of time on the stream, and Kurt's observation on friction is telling, as friction is what often weakens a knot.
Oh, and here's some other strength testing:
Kurt's pretty much convinced me to just use the Double Davy, though I've landed a number of fish 17" and above using the single Davy. I understand the Orvis knot tests strong with smaller diameter tippets, so I'd like to test it against the Davy in 7X someday when I have lots of time. Perhaps after I retire. :)
P.S. Kurt, next test the Ligature Knot against other tippet to leader knots. It's all I use when I have the time to tie it properly. You must wet it with water, not spit, and draw it down carefully, though. After several years it's gotten easier to tie, and it never, never breaks. It's hard to find directions on the internet, but Art Scheck's book Fly-fish Better
has good directions.