Make sure it's running 25 PSI while open and flowing, not static pressure.
Check polarity of the leads, there is different polarity for flux core wire than solid wire, and make sure you are running the right wire.
This^. Watch the gauge when you pull the trigger.
Chances are, though, that you are getting gas, and your problem is elsewhere. It's probably you, not the welder. Any significant wind will blow the shielding gas away. How far away are you keeping the tip?
Pull the tip off and see if the holes are clogged, where the gas comes out. When you pull the trigger, you can hear the gas come out. If it isn't clogged, and you hear the gas, then all is good in regards to the Mig gun.
Do you know someone, friend or family, who knows how to weld? Have them run your machine, and #1 determine that it is working right, and then #2- observe you, and help correct what you are doing.
Welding takes lots of practice, and it is hard to do that practice when something isn't working right. Whether it's the welder or you, there can be enough factors to make it difficult to proceed. Someone with experience can probably spot the hang up immediately, then you are back on your way to learning.