A pick is to be held with the thumb and 1st finger only. If you are right-handed, your picking hand will be your right hand. Vice versa if you are left-handed.
Hold your pick at an angle that you are able to pick the strings with the flat side comfortably.
Everyone holds the pick differently. Eddie Van Halen held the pick between his thumb and middle finger. But I suspect that the easiest way to play with a pick is to hold the pick between your first finger and thumb as shown. Don’t grip too tightly or you will slow down your playing. Hold it firm enough that it won’t fall out, but relaxed enough so you don’t feel tense in any way.
I want to make two final suggestions to you about your playing style. First, don’t overdo it physically. You can hurt yourself if you try to force your hands into doing something which they have not yet developed enough strength or control to execute. If they feel tired or cramped, take a break. You won’t gain anything by pushing your fingers. But if you hurt them, you may have to lay off a couple of weeks from playing. That would be a real tragedy if you love your guitar as much as I love mine! Second, please be aware of your state of relaxation. Try to be aware of muscle tensing in reaction to your playing and consciously try to relax them. This occurs most often in your back, shoulders, arms, and hands, but can occur anywhere. Tension will slow you down – so it is key that you learn to play without it. If you get frustrated and tense, step away for a few minutes. Stretch out, grab a drink, a fresh perspective and come back. Spend five minutes getting the feel of the guitar in this position. Take the time to find the position that is most comfortable to you, yet provides access to all the strings and frets.