What you've probably got on your CB is a signal strength meter. It's similar to an SWR, but not quite the same. The SWR would install between your radio and your coax (which leads to your antenna).
Also make sure that you've got a good coax. I dropped $40 on a really good coax, and don't regret it at all.
An SWR will allow you to see how much of your signal is resonating in the antenna and getting relfected back to your CB. This can changed by "tuning" your antenna. Your antenna package should tell you how to accomplish this. On mine, I loosen off an hex-head screw and slide a piece of wire. Some other antennas, you trim of 1/8" chunks of wire.
The bottom line is that CB's are a bit more difficult to get working properly compared to some other types of radio.