First check if the nut at the top of the steam wand is loose. Needs to be snug but not over tightened.
If its not loose then undo it and remove the steam wand. There should be a plastic half cup under the ball at the top of the wand and there will be another inside the fitting the nut screws onto. A bent piece of wire with a small hook used with care should help to fish it out. These nylon half cups may need replacing. If the ball at the top of the steam wand is scratched or lost its chrome in patches it may also need replacing.
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