Dont try to 'think about nothing', your brain is so used to stimuli that it'll literally create it from nothing just to fill the void.
Distractions are going to pop up, its natural, what you need to do is acknowledge them without focusing on them, by instead focusing on something repetative and simple.
Breathing is a common one since its something you do naturally all the time without thinking.
What you need to do is reverse that, focus on your breathing and let everything else fade into the backround.
You want to start by taking a deep breath in, usually about 3-4 seconds but the important part is whatever feels comfortable to you.
Focus on the feeling of the air flowing into your body, filling the space inside your body.
Hold at the precipice for a moment, before gently exhaling, expelling the used air out of your body, feeling yourself sink down just a touch.
Breathe in, again focusing on the air flowing into your body, hold a moment, and breathe out, focusing on the air flowing out of your body.
In, out, In, out, repeat this cycle.
Dont concern yourself with anything that isnt your breathing, just give it a mental label and go back to your main focus.
Its there, but unimportant, you'll go to it later.
At some point you will reach a state where breathing has become completely relaxed and automatic, as if you were asleep, and you have some options, as it were.
To use a metaphor, in that state you're currently floating on the surface of a lake, with the water being a representation of your mind.
With meditation, you would simply continue as you were, eventually reaching a point where it feels like your breathing has stopped completely, when in actuality its just your awareness, you could liken this to becoming the 'water' itself.
For a trance state, you want to gently sink down into the depths of your subconscious, which can be done solo with experience but is much easier with guidance, such as audio files in our case.
Your subconscious will come to the forefront for a while, and usually it's content to simply exist, since theres nothing out of the ordinary to grab its attention and you're currently in a content state.
At this point suggestions will be made, and should your subconcious agree with them, they'll be followed to the best of it's ability.
And make no mistake, it HAS to agree with them, there is a 0% chance of your subconscious ever doing something that you disagree with or dislike, and a particularly wrong suggestion will cause it to rocket back to it's usual place and put a boot to your conscious ass to pay attention to the threat in front of you.
One trick i've found with physically relaxing is to tense the body part as hard as you possibly can for about 5 seconds, before 'letting go.'
Doing that for each section of your body in sequence can really help with the intial set up of getting comfortable.
Because thats the key thing to it all really, being comfortable.