Propane grill issue?

I got this grill and I've never used it. I wanted to see if it worked. So, I tried to hook up the grill to the propane tank but when I turned the propane on, you can hear it coming out and smell it too. Like it's really loud. I'm guessing that's not good. The seal from the hose to the propane tank doesn't seem to be that good. Any ideas? Is there something I can buy that will make that seal better? Do all have propane tanks and grills have the same hook up?