In reply to CharlieMack:
You might screw it too tightly and then the stove screw gets broken. Try to turn the stove on and only then start screwing the gas cylinder on the stove. As soon as you hear the gas coming out, it's enough (or a little bit more, but not too much).
I had the same problem with gas stove, too. My friends tried to fix it and eventually the gas cylinder was set up on fire next to the church. Never used any gas stoves from that moment, too many things might go wrong. I have been using solid fuel stove Esbit Cookset 585ml - it is lighter (as you can take just few tablets for a one day trip), bombproof and stupidproof. Many solid fuel stoves have problems in windy conditions, but this one works amazingly well (I put it between rocks or near rucksack if it is extremely windy).