Your have the only three parts that are needed. Something is wrong. Here are some possibilities:
They sent you a wrong part or a bad part. It happens sometimes.
The tip is not sealing against the body. Try a little bees wax or Chapstick. Check for burrs or scratches.
The tip has a split in the end. Examine it closely with a magnifier.
The head isn't tightened enough. Not very likely. Just snugged up should be enough.
Which kit did you get, the fine or super fine? If there is an F on the spray regulator it is fine.
Don