Just to add to the above, make sure when you screw on the connection to the tank, it is all the way until it is firmly seated. If it is not all the way, even a small amount, it will not allow propane to flow. If you have a automatic change over, make sure you are opening the correct tank first.
I always go inside and open all the stovetop burner valves and light the stovetop to make sure all of the air is out of the lines