I changed the sand filter per the instructions. The hoses are hooked up correctly. But when I clean the pool, everything I clean comes back out the exhaust. What can I do?

Back out the exhaust? If you mean that it discharges to sewer, then the problem is probably the spider gasket in the multi-port valve. One of spokes has failed. If you mean the vacuum just blows right back into the pool through the return inlets, then make sure you have the multi-port valve on "filter" not "recirculate" or "bypass". After backwashing, you should "rinse" for a minute or so. Never turn multi-port valve handle with the pump running. If none of this helps, then you probably have to reopen the filter. Either the water has blasted channels through the sand so that water travels through the filter without actually going through sand or the lateral or standpipe knocked loose when you added new sand.