Altimeter setting and pressure altitude
Here's the difference in a nutshell:
When you change the number in Kollsman window to
bigger number and the atmosphere stays the same, the reading on your altimeter increases.
When you leave the number in the Kollsman window the same (let's say you have it set to 29.92 to see the pressure altitude) and the atmospheric conditions change so that the correct altimeter setting increases--i.e. the air pressure has increased-- then the reading on your altimeter decreases.
You increasing the setting in the Kollsman window is not the same thing as an increase in the prevailing correct altimeter setting.  They have the opposite effect on what you see on your altimeter dial.  The first thing makes the reading get higher, and the second thing makes the reading get lower.  When they both happen at the same time, the reading stays the same.
Clear as mud now?