I know Zippo's are supposed to light first time, occasionally mine lights after 4 or 5 goes, do I need to tighten the screw so the flint is further up?? it is a new lighter.
As it is a new lighter, just tighten the spring up a bit.... as the flint gets worn away you will need to keep doing this until the flint is too short and you need to replace it. Buy quality replacement flints if you can, the cheapo ones don't last very well.
Further to tonyted's answer I've always found that if you wave it about a bit before you turn the flintwheel it'll light first time every time. The best bit of gear I've ever owned, and I'll never part with it despite giving up smoking 3 years back!