Diagnosis
This usually means the locking lugs on the filter cartridge are not aligned with the slots in the housing, or the old filter's rubber gasket is still stuck in the housing, blocking the new one from seating.
How to Fix It
Pull the filter back out. Look inside the empty housing for a black rubber O-ring or seal left behind from the previous filter. If you see one, use a toothpick or small screwdriver to carefully pry it out. Then, align the two tabs on the new filter with the wide openings in the housing, push straight in until it stops, and give it a firm quarter-turn clockwise until it clicks and locks.
If That Didn't Work
Check the housing itself for cracks, especially around the locking slots. A cracked housing won't hold the filter. Also, make sure you're using a genuine PUR faucet filter for the PFM400H series. Some off-brand cartridges have slightly different lugs that don't engage.
Heads Up
If the filter isn't fully locked, it will leak from the base when you turn the water on. Always do a visual check to see that the filter's alignment arrow points to the lock symbol on the housing.