Welcome to our club and to JTS wargames.
The Demo is a very good "game" by itself.
Glad to hear that you are starting out with the Getting Started scenario, as that is a good way to get into things.
From what I can tell, you are not doing anything wrong.
When I try to do what the walk-through suggests, I get a message displayed in the very bottom left of the screen that says "Line-Of-Sight is blocked by terrain at (8,8).
So in this situation, their is no target dialog box, because your guns can't see any targets.
The walk-though instruction is incorrect, and you are not doing anything wrong.