First, the pump may have an adjustment on the head that makes it dual-purpose for both Presta and Schrader valves. Make sure you have it set correctly for your valve type.

Second, you want the pump head fully and squarely seated over the valve. If it's cocked a bit or not positioned low enough to seat on the valve stem, air will escape.

When all is right, there will be no loss in air from the tube as you pump.

**Add: Some Presta valves have removable cores, though most I've seen do not. A removable core can sometimes loosen up and make airing up troublesome until retightened. Since a loose core will allow air to escape even when the valve is closed, this probably isn't your issue.