Oh man, thats really hard.
I've had to do it for both of mine, but DS was much easier than DD!
I think with DD I stuck the collection bag on, then put a nappy loosely over the top so she wouldn't pull the bag off. I stayed really close to her, and finally I could hear the wee going into the bag, so I picked her up straight away to make sure it would go straight down into the bag, and not escape out the sides. - mind you, she wasn't at the crawling stage yet... so thats gotta be tricky...

Its ususally best to collect it in a sterile bag or container, as other bugs can contaminate the sample.

I would be smelling her wet nappies to see if they are smelling funny or bad, and keeping an eye on if she seems to be crying in pain when she wee's, as these can be sure signs of an infection. And its always better to start the AB's sooner rather than later when its a case of bubs with a UTI.

All the best... I hope she is feeling better really soon.