Compound shapes - can't set shape mode of components

I'm trying to use compound shapes in Illustrator CS4 as described in the help pages. I can select and move individual components of the shape, but when I try to change the shape mode of a selected component I get a popup with the message "The filter produced no results. Please select two intersecting paths." I'm running Illustrator as a 30 day trial, but as far as I know this function should still work.

Hi Tim, When you want to change one object compound shape attributes, use the Alt key (option on Mac) when clicking the pathfinder button.

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