Oh....paint is also dripping out of the nozzle, too. Not sure if that helps narrow down the problem.
Robert if you have paint dripping out of the nozzle even when you aren't pulling for paint this could mean that your needle isn't seating properly, the needle should fit snugly into the nozzle when it is closed, it can also meant that there is a tiny fleck of debris inside your nozzle or attached to the needle stopping it from coming all the way forward when closed, this problem is more common than you may think because in the case of new airbrushes, this issue is very often the result of a little debris from machining at the factory, and even more often you can see this debris with the human eye, you can try to get in with a sharpened toothpick to clean and polish your needle.
As for the blow-back, it's possible that nozzle sits to far back, this could be because of over-tightening or simply a faulty seal around the threads, it can also be caused by the nozzle protector cap sitting too far forward again possibly a faulty seal or wrong seal meaning maybe too large, and, it can also be caused by debris around the aperture of the nozzle protector cap, that is the little space between the cap and the nozzle, it is essential that this space forms a complete uniformed circle, a lot of these little issues can only be seen by using a jeweller's loupe or strong magnifying glass.
When seasoned airbrush users buy a new brush we generally strip them down completely before the first use, clean all the factory gunge off of them and lube them up, as you can guess by now there some pretty damn good reasons for doing so, Mitch has a video on this very subject.
Ken Badger is a member on this forum, if you use the search function above you can find a list of forum threads where he has placed his email address, if you contact him I know for sure he will help you, since he is the owner of the Badger company he makes it his business to keep customes satisfied, he is also a great guy
My advice, contact Ken first, good chance he will ask you to send your brush in for a tune up, failing that you will certainly get appropriate advice and tips.
In the meantime, I can understand that you may be getting a little frustrated, but keep your cool, very soon you'll wonder what you ever did without your airbrush.