I dont know why liquid would come out when you hit the gas buttom. Assuming everything is connected properly, the thing itself must be faulty. Get a replacement. The thing is a great tool and ive used many times without issues.
Do you have the gas and the liquid backwards? Liquid should come in through the top and only goes from the tube into the long SS tube to the bottom. There should be no liquid going through the brass and when you push the button on the brass that should purge with CO2.
Yeah you definitely have the lines going to the wrong place. The black quick disconnect (liquid) needs to go to the very top of the beergun. CO2 to the brass fitting (white quick disconnect on the other end of the line).
I just got one of these too, the directions included were pretty clear I thought.