Diagnosis
Yeah, this one's common. It's almost always because the high-pressure hose or spray gun isn't connected completely tight, letting pressure escape before it can build.
How to Fix It
Turn the machine off. Check both ends of the high-pressure hose. Where it connects to the pump and where it connects to the spray gun, make sure it's pushed in all the way and the collar is fully twisted clockwise until it's hand-tight. You should feel it click or seat firmly. A half-turn loose is enough to kill all pressure.
If That Didn't Work
The next culprit is usually the spray tip itself. Make sure you've clicked one of the five nozzle tips (0°, 15°, 25°, 40°, soap) firmly into the end of the spray wand. If no tip is attached, or it's not clicked in fully, you get zero pressure.
Heads Up
Never run the pump for more than a few seconds without a spray tip attached or with the trigger pulled. It's called 'deadheading' and can overheat the pump.