Maybe post some pics of the connections you are having problems with. Take a look at the old tank & the new tank. If there is a quick connect, part of the quick connect is probably on the old tank and you'll need to swap it out.
As far as the old 5 gallon tank goes, DO NOT THROW IT AWAY! Call some of the family owned sort of propane places (smaller places where propane is basically all they do, like where Hank Hill works) and ask if they can recertify tanks. If they can, ask if there is a charge if you are also filling up the tank. One by me will recertify for free if you fill up the tank. Others may charge something, but it is cheaper than a new tank.