Cannot start-up to the Apple Hardware Test — MacBook Pro & Lion

Whenever I try holding the D key before and throughout all of the start-up process, it simply makes the grey screen appear for longer, and slow the whole process... but never beings the Apple Hardware Test.
I'm following Apple's official instructions:
To start up your computer in Apple Hardware Test:
Press the power button to turn on your computer.
Press and hold the D key before the gray startup screen appears. An Internet-enabled connection via Ethernet or Wi-Fi is required to use this feature.
Note: Some Macintosh computers that shipped with OS X Lion support the use of Apple Hardware Test over the Internet. These computers will start up to an Internet-based version of AHT if the hard drive does not contain AHT.
Why doesn't it work?
My MBP was shipped as follows:
For Apple computers that shipped with Mac OS X v10.5.5 to 10.6.7, Apple Hardware Test is located on the Applications Install Disc 2 and should be included with your computer.
But I have upgraded to Lion! Do I need the disk still? If so, why am I to lumber around a disk from a previous OS... good that I didn't throw it out!

I'm trying to find the answer to a similiar question.  Here's my thread.
https://discussions.apple.com/thread/3549995

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