Featured images, am I missing something?

As mentioned by @Michael in his answer the theme has to support the Post Thumbnail functionality.
All you need to do for it is to put this line into the theme’s function.php file:

add_theme_support( 'post-thumbnails' );

There’s a good chance it’s there already, so search first.

Now you only need to output the image somehow. There is a function called the_post_thumbnail(). You can copy and paste the following line almost anywhere in your theme files. Try index.php or single.php and you will see.

<?php the_post_thumbnail( 'thumbnail' ); ?>

These 1 or 2 steps are all that is needed for the very basic Post Thumbnail functionality. You can implement this into any theme.

You will find all this and much more (much better written also) in Everything you need to know about WordPress 2.9′s post image feature by Justin Tadlock. It’s an excellent article I kept returning to the most when I was learning how to work with the featured images.

Good luck (again;) and let us know how it went and/or if you have more questions!