My TRS's strings started popping out of the trem after hte first string change and no matter how gentle I was, and eventually how tight I got it, it would always happen.
The metal is just too soft and ****ty, at least on mine, to hold the strings.I think I just got a really bad one, but in the end I had to replace my trem. If it's new, return it. If it's old, then you have a few options.
1. Put an OFR in it.
2. Do a bit of work, put an Edge in it.
3. Take out the lock block and hte screw you use to tighten it and feed the ball end of the string through the screw hole.
Assuming you're not talking about the locking nut...
Either way, if you're poor/broke, option 3 will work. If you want to make a good investment, go with 1 or 2 when you can afford it.