Locking pump dual nozzle on presta valve doesn't work
This really depends on the specific model and design of your dual head (i.e. two valve holes, one for presta and one for schrader). 



I've seen at least three variations of dual pump head mechanisms:


The locking lever controls which valve is active by the direction it's turned to. 
When you insert the presta or schrader valve in the right hole, the valve body itself hits a small lever on the side that closes or opens the appropriate pump head valve. Sometimes this is actuated by the closing of the locking lever.
Inserting the head of the tire valve trips a lever deep inside at the bottom of the valve hole.
Some valves in dual head designs react to pressure, i.e. when plugging one of the valves into a tire with air the pressure closes the other valve. When filling empty tires and the air keeps coming out from the wrong valve, pressing the outer tube against the inner tube valve while simultaneously pumping air creates pressure that opens the correct pump head valve.


So for troubleshooting, I'd first see if your lever can flip the other way. Then, I'd ensure the tire valve is fully seated (pushed in all the way and maybe give it a wriggle as you push it in). Then I'd try putting the other type of valve (presta or schrader) in to see if the switching mechanism can't reset. Finally, I'd gently prove with the blunt end of a disposable chopsticks inside the sides and end of the valve body to see if you can't locate and unstick the switching mechanism. 

This all assumes you can't find the manual which would tell you specifically what to do. I find the cheaper dual head designs to be failure prone, I prefer pumps with single "universal" heads such as this Lezyne.



p.s. I'm noting that the black cheapo dual-pump head whose image above I shamelessly stole off e-bay only goes for 1-3 eurodollars, shipped from China. You could just get another one at that price.  I'd personally recommend: 1) continuing to use the one you have using a schrader-presta adapter; 2) get a dedicated single-head; or,  3) get a well-machined universal head.