You have to install the tiny nut on the end of the windage screw, and stake it in place.
Support the other side of the windage screw, and stake the nut with a rounded- off center punch.
Mr. G, there is a little plunger and spring that go into the head of the screw and that is what "clicks" as it comes around to the sight blade groove. Sounds like yours is missing these 2 parts. George