the regulator regulates the pressure of the gun. "zeroing the reg" means that you restrict the airflow completly (i.e. turning of all airsupply). Doing so ensures you that you do not have too high of a pressure. When the pressure is too high the gun will leak to protect parts from breaking, however a way too high pressure will still break parts that will need replacement.
since you say that "eattaching the CO2 without screwing it in all the way, the gun fires away" i would guess you have your regulator tuned too high, try shutting it off and attach your tank (the gun should NOT air up if you have done this correctly) and then slowly incriese the airflow by turning the regulator. Preferably this should be done over a chrono (chronograph - it measures the speed of the paintball leaving the barrel) and when you reach a desirable fps (feet per second) of 280-295 then you're set.
IF (and only if) the gun still leaks after doing so you might want to open it up to see if the noid (solenoid - the "air valve") is damaged or if the hoses are damaged. taking it apart will look something like this:
also you might want to read this: http://blog.paintball-online.com/200...rt-parts-sp-1/
eventhough it is not about how to solve your problem it is a rahter good guide on how to take the marker completely apart (which is normally NOT needed) and whatnot