In case you hadn't guessed...I'm a rookie at this too. I'll try to explain what I mean.
I found out early on that the white piece in the center of the nozzle would come out of the gray/beige/blue part. I haven't tried breaking it down any further and don't think I would. Also, inside the body of the brush there is another *needle* valve which is what you're adjusting with the roller on the top of the airbrush. This is what adjusts how far the needle extends from the nozzle and how you adjust the paint flow. Say you're holding the brush in front of you with the nozzle pointing forward, if you adjust the roller all the way to the left then the needle valve inside the body of the brush is adjusted to it's most extended position.
So, if the brush is set this way when you screw on the nozzle and maybe there is a little paint build up on the end of the needle inside the body, it will force the needle in the nozzle out too far which will shut off any paint flow. I've also noticed that when this happens the needle in the nozzle will get stuck in the extended position. Either from the needle itself being force to far forward or the little nylon follower at the very back of the nozzle getting cocked sideways and preventing it from returning to the open position.
Am I making sense so far? Sometimes I'm a little vague with the written word, sorry.
I don't recall seing this in the instructions, I guess they assume we know what we're doing, but what I am suggesting is that when you change nozzles you should adjust the roller on the top of the body of the brush all the way to the right. Or, to it's retracted position.
Also, once you get your brush working and have finished spraying, unscrew the nozzle and look inside the body of the brush and you'll see that there is still some paint inside the front of the brush. You should flush this out with some thinner and wipe it out with a pipe cleaner or something similar. Just running thinner through the nozzle from another bottle isn't enough. The little tool provided with the brush will wipe around the needle valve inside the brush but I don't think it will actually touch the end of the needle to clean it. All it takes is a few thousandths of an inch to mess everything up.
What all this means is, if you've taken the needles apart make sure you seat the white part that holds the needle into the nozzle. Adjust the roller on top of the brush all the way to the right before you screw in a nozzle. And, when you're done spraying, be sure to clean out the body of the brush. I don't mean take it apart, just clean behind where the nozzle screws in.
I hope this gets you going and apologize for being so long winded. Also, unless you're using acrylics, I'd use something other than alcohol for cleaning. Lacquer thinner would be more effective if you have it, if not, then whatever thinner you're mixing with.