I have not been able to purchase a rail ticket for Paris to Luxembourg (round trip) on SCNF. What site should I go to on the internet?
How far out are you looking?
It's easy to do, and SNCF is a good place to buy them from. But you can also try www.cfl.lu. If that doesn't work you are trying to buy tickets too early.
Specifically, if you are looking to buy for after 11th December, you cannot do so for now. Check again every few days!
Or perhaps your issue is that you went to www.sncf.com (corporate & timetable) instead of www.sncf-connect.com (ticket agency). Yes don't ask, the distinction makes no sense.