Tricky at first but easy to master with practice, the French knot appears in many stamped and counted cross-stitch projects.
Bring the threaded needle up through the fabric, and wrap the floss around the needle as illustrated. Tighten the twists, and insert the needle back through the fabric in the same place. The floss will slide through the wrapped thread to make the knot. Don't pull the thread too tight or you'll pull the knot out.