If your pump is above the waterline of the pool, it will take, in some cases, minutes to "prime" (i.e....pull all the air from the system). Are you giving it that time?

Forgive me for stating the obvious, but if you are new to pumps, than can sometimes surprise you.

Regardless of the reason for the air in the pump, you will not get good pressure 'til that air is withdrawn from the system...I'm pretty sure that is why your guage is indicating 0-4.