The regulator will be mounted 90 degrees from the current setup (horizontal vs. vertical). The new cylinder should have come with a nylon or compressed paper washer. If it didn't, you should be able to use the old one - just make sure you torque the heck out of the nut. Make sure the working pressure (if the reg is not preset) is at zero (the knob on the front of the regulator should be turned all the way COUNTER-CLOCKWISE). open the valve on the cylinder *slowly* plug in the solenoid, and begin slowly increasing working pressure (turning the regulator knob CLOCKWISE).
And if all you're asking for is how to physically connect the new cylinder, then mach is correct - just remove the blue adapter, make sure there's a washer in place, and crank down on it.