All you have to do is screw the nozzle onto the top of the propane tank. IMPORTANT: Before you screw it on, be sure to turn the valve on the nozzle all the way to the right (closed). If not you'll start to lose gas as soon as you screw it on.
Don't worry about leaking propane otherwise, the tank will remain sealed until the nozzle is all the way on. At the most you may catch a whiff of gas in the air.