Human/Elvish/Khajiit/Argonian souls are different from creature souls, they require black soul gems to hold them. Alternatively if you do Asura's quest you can get the Asura Star which is a reusable soul gem that, I think, can hold any soul you trap - bar dragon souls.
Just be warned the Daedric quests tend to be tough, low level characters will get slaughtered.
The Azura's star quest has two possible outcomes, one gives you the Azura's star, which captures only white souls (i.e. non-human souls). Another gives you the Black star, which captures only black souls (all human/elf/cat people/lizard people souls). Generally since black soul gems are much rarer (and it's much easier to capture human souls) the Black star is more favorable.