I noted that it had to be in Program mode, the middle of the three positions, then it works as indicated.
I appreciate the reference.
When I try it, it suggests that I use the left and right arrow keys. There's nothing labeled with those images on my camera, so I'm assuming its the round ring, left and right. When I do that, I don't get an always on, I get an auto or off.
I hope someone can tell me what I'm doing wrong.