generally if you have to hold on to the treadmill then you're either going too fast or the incline is up too high for what you can handle. slow down/lower the incline until you get to the point to where you feel comfortable holding on. increase it a little every few days to see if/when you can start handling more speed/incline without holding on. in the end you'll burn more real
calories by going slower and NOT holding on than by going faster and holding on. the calorie readout on the treadmill will tell you differently though because the treadmill has no idea whether you're holding on or not.
the best fitness piece of equipment to ever invest in is a heart rate monitor. it's that piece of equipment that will tell you if you are working out hard enough or if your workout is just fluff. starting out you might want to go by the recommended HR charts to find out where you should be minimally.
i actually just posted this to someone on another board who was getting worried because she was was working out above the "fat burning zone" and was worried she wasn't burning fat if she worked out in the anaerobic zone.
you can follow the guidelines for fat burning zones if you want but if your goal is to lose weight then go for the burn, and yes that might be your anaerobic threshold. the bottom line is a calorie burned is a calorie burned. you'll burn more calories at a faster rate with a higher intensity workout. you'll also build cardiovascular fitness when you work out at your anaerobic threshold. otherwise, you'll just maintain your current cardio fitness state working out at the lower end of your heart rate range. the idea that you burn more fat in your 'fat burning zone' is sort of a crock of ****. while your body does use more fat stores at a lower target heart rate, as I said previously, a calorie burned is a calorie burned. with a higher intensity workout, it's win-win. you burn more calories overall in a shorter amount of time AND you increase your cardiovascular fitness. see? win-win. don't get too caught up with the "fat burning zone" phenomenon.
you can workout at a lower intensity and those workouts do have a time and place--but just know at that target zone, it will take you longer to burn the same amount of calories than it would if you were working at a higher target HR zone.