I had to exchange my first CO2 tank and when I went to connect the regulator to the new tank I am able to screw it on but there is still a leak from the connection not matter the tightness. Is this something that I can fix or is this a problem with the tank?
Check for a gasket on the connection to the CO2 tank. The symptom you are describing is very common and usually caused by the absence of a small plastic washer-like ring that sits inside the threaded connector.
My CO2 supplier even provides tanks with a spare gasket attached to the valve, in case the original falls out.
If you are not missing a gasket, a good test is to connect everything and submerge it in water. Bubbles will form and rise where the CO2 is leaking, and you can address the problem from there.