How do you connect the water/ice maker on the refrigerator?

We just purchased the Maytag 25.3 cu side by side and OMG I can't connect the water/ice maker. The water line connection keeps leaking. I don't know if they are all pretty much made the same but there is the tiny hose that goes from the water source up to the filter, then a second tiny hose that goes to the fridge. The line to the fridge isn't leaking, but the part that connects to the water keeps leaking. There is a little lever on the filter part that I can't tell which way to turn. When I turn the water on, it is only leaking from that point (that is directly connected to it) and I don't know what to do. Any suggestions or is there something I am missing. I did make sure that the little part was flush directly against it and then turned the lug nut thingy really tight.