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I thought the same thing when I got mine....usually a grill regulator has a female piece that screws on IF you have a male piece it will fit the propane tank....just goes on the inside of the piece. Weird to explain but the piece ON THE TANK is both a female piece and a male piece.....put the piece you have IF its male on the inside of the piece on the grill.... As doug said it spins on the opisat way to the left instead of right....hope it help without having a pic its hard to explain but I would bet that is the problem cause the same thing happened when I got mine.
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