That appears to be a flared connection. The cause of the leak could be one of several things. The flared end on the tubing may be faulty or damaged. If so, you can cut the tubing and use a flaring tool to make a new flared end. The flare nut on the tubing must mate with a matching flare adapter on the valve. The fitting between the flare nut and the valve must not be an ordinary pipe nipple. The flare on the tubing won't have anything to seat on if that is the case. You don't need or want to use teflon tape or sealant on the flared connection. The seal is made by the nut forcing the soft copper against the matching male flare fitting. The copper flare gets squashed against the face of the male part and because the copper is soft, it should seal. Assuming you have the right adapter and the there's nothing wrong with the flare on the end of the tubing, you could try simply tightening it up more. Sometimes if the flare on the tubing is not done correctly, it can split and that will cause a leak. I would take it apart and make sure that you have the correct fittings and inspect the flared end of the tubing for defects. Did you put this together yourself or did someone else do the work? If it was someone else, there is the chance that they didn't use the right fittings. The good news is that it should be easy to fix. It appears that there is a lot of teflon tape on the fitting above the flare nut. This leads me to think that whoever put this together did not really know what they were doing. Maybe that's just excess tape where the male adapter was threaded into the valve. That thread would require tape or pipe thread sealant. If you still can't fix the leak after you check all of the above, take it apart and take some close up pics of the fittings and we can take another shot at it.
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