1 of 2 things,
Either it's as myninjazx9r said, and the tube in the tank for "on" is broken off, or you just had it the wrong way to begin with.
If you are sure you at it to "ON", then you can pretty easily check for a broken pickup.
Remove the tank, you will see the petcock assembly on the bottom. unbolt this and pull it from the tank. There should be 2 plastic tubes rising from it into the tank, both about 1 to 1.5 inches tall. One should be solid plastic almost the whole way up, this is the ON pickup.
The other will be mesh pretty much the whole tube, this is the RES pickup. If the On is broken off, you can try to fix it, or get a new assembly from the dealer or ebay.