I know everybody says to loosen the 2-piece nozzle, but my nozzle definitely is not adjustable that way, I'm pretty sure. I have a flexible hose like the OP describes, and what I have found to work is to kind of "tear" the nozzle off to the side. Leverage between the nozzle and the base of the zerk pops it off. If I try to pull straight back, it is much harder to get it off. In a pinch, I will take a flat-head screwdriver and put it between the nozzle and the base of the zerk and turn it to pry the nozzle off.
Some other grease gun tips for the OP, from one newbie to another.
1. Always make sure the plunger on the gun is securely locked back before opening it. If you take the top off with the plunger not locked, grease will go everywhere. Why would you do that? I don't know, but I did. Oops. Some people even stick a small bolt into the hole where the plunger goes, to prevent it from accidentally popping out when they're reloading.
2. Make sure the gun is totally empty before trying to reload it. If it is not totally empty, you won't be able to get the next tube fully inserted, and it'll be a mess. Sometimes, the gun acts like it's empty, but there is just some air in the line that you need to work out. Press the air release valve and work the handle. You may hear air "farting" out. Keep doing this until some grease squeezes out of the air release valve, which should indicate that the air has been worked out of the system.
3. Make sure your plunger head is turned the right way. They go one way for operation with a cardboard tube insert, and the other way if you are filling from a bulk bin without any insert. If you have it the wrong way, it won't work right.
4. You can tell how much grease is left in the gun by pulling the plunger handle back. As soon as it hits the plunger head, it will have extra resistance. When the gun is truly empty, the plunger head will be fully extended, and you will feel resistance almost as soon as you start drawing the handle back. This is useful if you are trying to tell the difference between an empty gun and a gun that has air bubbles stuck in it.
5. If you can't get a zerk to take grease, use a small allen wrench or other such device to push in on the spring-loaded pin in the zerk. Sometimes they get a little stuck, and this clears them out.
6. Many grease points are built so that the new grease pushes the old grease out, and you keep greasing until you see fresh grease coming out. The loader is an example of this. A few grease points are built so that you just push in a little bit of new grease, but none comes out. Where does it go? I have no idea. The grease points on the center of my tractor's front axle are like this. If you push too much grease into the latter kind of grease point, you will build up excess pressure and potentially blow a seal. Just a squirt or two is enough in those points. If you're not sure, what you can do is push in a squirt or two, then remove the grease gun and push in the spring-loaded pin in the zerk with a small allen wrench or something like that. If there is excess pressure, the grease will squirt back out again, relieving it.
As I said, these are just some things that I figured out in my first two or three grease intervals, that might be helpful to you. If any more experienced folks on here want to revise or correct any of these things, I hope they will.