I'm sorry - I didn't mean to be rude! Re-reading it, i'm sorry, it does come off a little abrasive. my bad.
But, those aren't nylon strings on the guitar in the picture, and that isn't a classical guitar. If you bought nylon strings, I can't imagine why there would be steel strings in an envelope marked nylon strings.
A nylon bridge, with strings, looks like this:
Nylon high strings are clear plastic nylon, not steel like in the photo.
Steel strings look like this:
Note the eyelets at the ends. Those go under the bridge pin, to hold in place. My guess is just that the little knot at the end of your trouble string is just slipping through the pin. The eyelets fix that.
If the strings in your photo are just very deceptively sized and coloured nylon strings - well, you have a steel-string guitar, and it would probably both sound better and string properly if you strung it with steel strings.