Not to sound like an arse but did the reg come with instructions and are you following them correctly?
JuanMoore's advice is correct. Which ever way the screw turns it should come out from the surface of the reg to reduce pressure and move towards the surface of the reg to increase pressure.
If no matter which way you turn the screw to either extreme no difference in pressure results? - The reg is bad. (Don't forget to relieve the pressure in the lines between the different settings)
Inside the regulator is a diaphram, sort of like a rheostat, (Very loose analogy) If turned off the electrical resistance in said rheostat causes no electricy to flow. As it is turned up or down the resistance changes and more, or less, electricy flows.
A regulator is sort of the same. As the screw moves in (which ever direction CCW or CW) it pushes on a spring loaded diaphram (resistance) which has the soul purpose of maintaining a seal inside the regulator chambers and keeps CO2 from flowing among them until counter pressure (the screw moving in) is applied.
Once the screw moves in enough it overcomes the resistance and causes the diaphram (seal) to be comprimised and allow CO2 to flow into two chambers. One being the low pressure gage and the other (and same pressure) to be sent to your keg.
Once this desired pressure is set the regulator, screw, and spring loaded diaphram will work in conjuntion to maintain set pressure.
For the high pressure gage there is a bypass, detour, what ever you want to call it. That gage will get a reading unobstructed, straight form the CO2 tank.