f you have all faucets closed (not running any water) and the pressure gauge falls to zero after the pump cycle, that means that there is a leak in the system or the check valve is bad. Is the pump in the well?
In most installations, 20 psi is the minimum water pressure setting at which point the pump should start to increase the pressure to 40 before it turns off.
The gauge measures water pressure, not the air pressure in the tank. With the tank empty of water, the air pressure needs to be adjusted to 2 psi less than what the water pressure gauge normally reads when the pump turns on. To do this you use an air pump and an air gauge, just like airing up a bike tire.