[mdphoenix]

Certainly. First, you didn't state that you're actually turning off the power. You said you get the message about the warning and then you continue to step 2. The phone has to shut down.

The "enter" key they're referring to, is the center of the D-Pad. I made the same mistake you did yesterday, then I found a diagram which depicts the circle as the "enter" key as well. So, make sure it actually shuts off, then use the D-Pad circle. I got the message immediately after pressing the power button while holding the D-Pad.