Read this before assembling that keyboard tray:

I noticed from previous reviews that people are having problems putting in the screws (#5 in the package) that hold the glides onto the brackets for the keyboard tray. The problem is not that the screw holes are too small. You have to force the screws into the tiny holes in the sides of the brackets to cut the threads. Once you’ve done that, everything will go together smoothly. 

The trick is that you have to do this operation BEFORE you try to put the glides on. It takes a fair bit of pressure. Try working the screw back and forth a turn at a time until it is fully started. The chances are you’ll strip one of the Philips screws doing this, but the manufacturer has thoughtfully provided an extra.