The regulator reduces the pressure of the welding gas from bottle pressure to about 15 psi. It also sets the flow rate, with a #5 nozzle you should be between 15 to 20 cfh. Insufficent shielding gas will cause the arc to sputter and the weld to oxidize and burn up the tungsten.
when welding it is important to not be in a drafty area as it will blow away the shielding gas and cause problems.
There is also a regulator with a different style flow meter, it is a column with a floating ball, they work well and are more precise, but are more expensive.
When installing the regulator open the gas valve and let out a short blast of gas to clear the connection, this keeps dirt from clogging the regulator. When you are done welding turn off the gas valve on the bottle, if left on all the time you will lose your gas.