Hmmm... Could very well be that you have to be an "Administrator" user. Big Brother M$oft tries to "protect" its users by disallowing them from doing certain things. America Online, who I spoke with Saturday over a bill dispute, even responded to my charges that their software installs all kinds of bloated, memory eating
spyware, with "It's for your protection."
Assuming you're running XP or 2000, log into your machine as Administristor, password Administrator, and then try it. To do that, first do a Start->Shutdown->Logoff. (forgive me if you already know that stuff). Good luck.