To answer the OP's question, this is a skill that while we can explain up to whazoo online, you really need to see, and do yourself. Each regulator is slightly different and its important to train on the type you will be using every day.
Essentially, its important to know that the regulator attaches to the tank only one way-- there are three holes on the tank that match three pins on the regulator. In between there should be a plastic o-ring or seal. Uusally, the o-ring lives on the regulator.
Once you line it all up, you tighten the regulator finger tight (or else it may be hard to remove). Using an attached wrench, you open the tank, check for leaks, check tank pressure, and you are on your way.
Make sure you know about all of the different O2 delivery methods you carry on the ambulance. How much O2 does a Nasal Cannula get v. a Non-Rebreather? How do you hook up a BVM? How much O2 does that get?
Make sure you know wehre all delivery devices are stored, where to find extention tubing, how to move a patient from portable to on-board O2 and how to change tanks (as well as where they are stored).
Below is a cool link I got a few years ago with a utility to learn about BVM O2 usage.
http://vam.anest.ufl.edu/checkout/check-sirb.html
Good Luck!