I looked up that squash variety, it is a winter squash (Hubbard squash group).
Your thought that you picked too early may be correct; do you have a very rough idea when that particular squash started forming (such as number of weeks before you picked it)? They should be allowed a long ripening period to be of the best flavor. The skin should be very orange, verging on red, when ripe, the longer the better. It is a popular variety, so you may be able to find specific cultural information, and harvest information, online.
There are many good recipes online for that variety too. A very basic tried-and-true method is cut in half lengthwise, scoop out the seeds, a little butter inside each half, sprinkle on some cinnamon, bake in a glass dish at 350 F for an hour (adjust time up or down depending on squash size; squash should be cooked until soft). Depending on your tastes, you can add brown sugar to that.