If I had to choose something you're doing wrong, is you're not following the manual (including the reference manual that's on the CD in PDF format).
Note that you HAVE to pop up the flash first and allow it to charge before going to take the picture...some would prefer the flash to pop up on its own, but there are many times where you either don't want flash or aren't allowed to use a flash, and the flash poping up and engaging on it's own would be too annoying; also the camera would have to charge the flash each time you power up the camera for that situation which would drain the battery in no time (I owned a cheap camera that did this, and it costed me more than the camera was worth in batteries; that camera ran on 9v and you couldn't get a good 9v rechargeable).
In addition to the above, the camera won't allow you to select the flash mode until it is popped up...there's no point in choosing a flash mode if the flash isn't already engaged.
If you get more advanced you can set default flash modes using the MyMode feature, but for the average user the Auto flash mode works very nicely, and the only other setting is the fill flash mode for shooting backlit subjects.
p.s. If you want to be notified of replies, when you post a message you can click on "Notify me by e-mail when replies are posted to this topic"...sorry, but I don't want to expose my email address to just anyone by posting an email.