I am not Jeff. But I have the same issue. What you indicate above **IS** what happens if there is another WiFi signal (from any other access point, regardless of whether you have the password to that AP, etc.).
If, however, you are in an area with no visible access points (that is, the dongle does not receive a signal broadcast from any AP), after you enter the password and say Eyes it will say "Processing Please Wait". But then, instead of saying "Access Point Mode Starts", it will make a bonk sound and return to the setup menu.
It's NOT a user error.
Your Access Point is the wifi, that is the reason why it's wanting you to put in the ssid name, security and password. Once activitated you have to go into your phone, tablet or any other device and connect to that wifi signal that the wifi dongle is putting out.