Inspect the threading of the screw to see whether the screw is still in good condition or if there is any jagged threading on the body portion of the screw.
If your screw does not appear to be in good condition, then you would have to purchase another screw. Remember to take the knob with you to the store so that you can get the correct screw for that knob.
Since you are holding the screw with your left hand and the knob with your right all you have to do is turn the screw clockwise, so the knob can tighten on the screw.
Make sure to hold the knob in place while performing this step.