Why doesn't my water pressure change when I adjust the water pressure regulator?
Sounds like the rubber diaphragm inside he pressure regulator has torn, or something is in the way.
To fix be sure you have:
A pressure gauge
2 pipe wrenches able to open to about 1 1/2" 
Large channel locks could substitute for one above pipe wrench 
Water meter key
Crescent wrench 

And the parts.  You need to find the metal tag on the regulator it will give you the model number and information about he valve.
You need to head to the local plumbing supply I'm not sure if you will be able to find the kit at a home inprovment wharehouse 

You need a rebuild kit for a ####. Whatever model you have.   They may ask the size of the regulator.  

Once you have the kit.  Shut the water off.  If you have a gate style valve use the meter key at the meter instead.  

Use the pipe wrenches to loosen the front packing (where the adjustment screw is ). Then break loose the two unions
From there it's just a matter of replacing the diaphragm and spring. Then install.  Don't forget to use plumbing silicone grease on the rubber parts and the gaskets in the unions

Put the gauge on the hose bib and slowly turn the water on not all the way just about 1/4 open.  Check the pressure.  Most regulators come set around 55psi  this is recommended unless you have an RO system then I recommend upwards of 70 psi.