If you got the wrong one I would complain! Otherwise you need a water separator! The Tuxing seem to be the most reliable At $135 or so... it adds a bunch to the Yong Heng. I just got the one that comes with the water separator and I am waiting for the Tuxing stand alone filter to arrive, just the one with the 3or4 filter media. You can change the media to fit your needs. I think it was $90 to my door. I'm hoping that I do not need the additional water separator beyond what mine came with. Mostly it depends on what you are filling and your humidity. The dual tube Tuxing (water + filter) is the "cats meow" but doubles the cost of the compressor.
I guess you can buy parts for the Yong Heng, maybe you can find the water separator and additional tubes if you can't work something out with the folks you ordered from.