What he said. The small ones (suitable for compressor) at Lowes (Kobalt brand) are about 20 bucks. Sears & Home Depot are similar.
Before you go take a good look and measure the compressor's outlet pipe dimension. Then while you're at Lowes/Home Depot wander into the plumbing department and check their fittings. At my local stores the parts I need are in plastic baggies above a display board with the parts attached.
The pipe out of the compressor into the regulator -- it it the same dimension/same thread? If not you will need a reducing/enlarging coupler. This would take your outlet pipe and connect an appropriate-sized pipe for the regulator. You will also need a pipe out of the regulator to the airbrush connection, again changing sizes & threads as necessary.
Your pipes are called nipples and they range from about an inch long to several inches. They are threaded on both ends (short ones are threaded their entire length).
To change directions there are elbows, both 45 and 90. Those which are male threads on one end and female threads on the other are called street elbows. You may also consider a T with a plug in one leg as a clean-out or access point for a future connection
Also pick up a roll of Teflon plumbers tape to help seal the threads while you're at the store
I've also found a good assortment of these fittings at the local Ace Hardware store and the workers there seem to be more knowledgeable than the kids working at Lowes/Home Depot. They can help you select parts to set up your rig.