I'd close your tank valve and shut off the Secondary valve (red handle/piece). Release the air in the regulator by pulling on the air release valve on the regulator. Unscrew the pressure control/dial all the way. Open up the tank again and screw in the dial to pressure it at 12psi. Turn the red valve control parallel to the gas line to allow the gas to load into the keg. You should hear the keg filling up with air. Then pull on the air release valve on the keg coupler a few times. The psi should go down slightly. Turn it back up to 12 or so and give it a few minutes. Test it out again. If that doesn't work, tighten up the connections. You may have a leak somewhere.