If you have built the circuit exactly according to the "sample" circuit in the datasheet, then the only conclusion I come to is that your active component (LM317) is broken. Double check that you have wired it correctly, have use the right components and values... making sure you have specified the correct pin assignment.
I have use this circuit in a home built lab supply since the early 1980's. The LM317 is very robust if wired correctly.