I know the Vikings were the first to "discover" the Americas by the fact that they were the first Europeans to come to the Western Hemisphere. How were they not able to start a colonization like after Christopher Colombus? Were records lost of their arrival?
Greenland had only been settled by the Norse for a short generation before they began exploring down the American coast. It was a small community that would never get above about 4000 people. There seems to have been little reason for this community to expand further. They were largely able to make do with the resources they had (and would succeed in doing so for 500 years), but they were also too isolated from Europe's fledgling trade networks to make any sort of resource extraction or manufacturing a lucrative enterprise.
They nevertheless did explore a bit – perhaps to get a sense of local resources, particularly wood – but North Atlantic waters can be treacherous. So as they explored southwards, they eventually realized they couldn't go any further within a single sailing season and still have enough time to make it back safely to Greenland. So they set up a winter camp and sailed back the following summer.
Archaeologists have found one of these winter camps, at a place called L'Anse aux Meadows on Newfoundland, Canada. This might have been the only North American camp, and they may have used it only once – we can't tell. The archaeologists did turn up a bit of a butternut there, which means that someone had made it all the way south to the nearest butternut trees in the St. Lawrence estuary. But the key signs of permanent settlement – traces of livestock or women – are completely missing. And when the Norse visitors left, they took everything they could with them in an organized departure (i.e. not under Indian attack, as is sometimes argued). So this was definitely more of a work camp than a colony.
Why didn't the Norse expand? It's hard to tell, but it probably just wasn't worth it. They were pretty proud of their voyages, though, and at least two "Vinland" sagas made their way back to Iceland. There's a dubious story that Columbus visited Iceland and may have learned about Vinland before his trip west, but I'm not sure how rumors of Newfoundland might have impacted his ideas about where Japan was or what he thought of Hispaniola when he found that instead. There's also a so-called Vinland map that may have circulated through Europe, but most scholars are skeptical about its authenticity. Simply stated, the Greenlandic Norse were an isolated community, and although at least some records of their voyages survived, no one outside of Iceland seems to have thought they were important or worth keeping.
I've written a bit more about Vinland and the sources we have on it – and their reliability – here. I'd still point to the same sources as the best first references:
James H. Barrett, ed., Contact, Continuity, and Collapse: The Norse Colonization of the North Atlantic (Turnhout, Belgium: Brepols, 2003).
Stefan Brink and Neil Price, eds., The Viking World (London: Routledge, 2008).