You need to take the width setting up to 4 and length down to 2 or less if you want a close zig zag. You may not want it that wide but usually 4 is the maximum width.
There is probably also a stitch selector if your machine has several stitch patterns it can do. I've looked at an image at
http://www.stevekraftrepair.com/uploads/resized-P9200750.JPG and it looks to me like the left hand knob on the front of the machine is the stitch selector and is colour coded in with the images on the front panel. I just can't make out which number is the zig zag, it could be the red number 4??? So you would put this dial onto the zig zag, then turn the other dial up to a wider stitch width and I am guessing that the little blue box lower down the case has the reversing button and the stitch length setting.
Usually it pays to turn the width to zero BEFORE you make changes to the stitch selector, most machines seem to like being treated this way, ie engaging cams inside the works.
Also, it is always a good idea to check what foot you have on before you start sewing a swing needle stitch just to make sure that you don't hit the foot with the needle. Some feet are designed for straight stitch only and have a little hole but obviously this is not going to work for a zigzag stitch.
I hope this is of help and that I have understood your problem.