First, make sure the cylinder is properly attached:
Pull the back cover away from the machine to remove it. Make sure to pull from the small grip on the top of the back cover, behind the carbonating button.
Do not hold the sides of the back cover to remove it.
To insert the cylinder, first raise the pink cylinder handle and remove the seal and cap from the cylinder. Position the bottom of the cylinder in the machine and then gently place the rest of the cylinder into the cylinder holder, located on the underside of the carbonating button. Lower the cylinder handle to lock it and replace the back cover so it clicks into place.