Typically you would screw the T valve unto the tank first - usually easier that way.      
The mounting nut on the flexible supply line should turn easily. Check it before screwing it on. An old one may have corrosion.       
It sounds as if you may be cross-threading the mounting nut onto the tee valve. Make sure it's going on straight or you may damage the threads. You might want to buy a new supply line of the correct length and try that. The flexible supply line shouldn't be that hard to bend. Hard to tell the length from the picture but a shorter one will require less bending.