PixeledArt just answered your question, but to make it even clearer:
When CTRL+clicking the layer in your layers palette, you have to click the thumbnail of the layer.
I know it's a nobrainer for many, and you could discover this for yourself in like 5 seconds, but it's never bad to be as specific as possible.
I would also recommend downloading Jeffrey's tutorial and watching it closely - JW makes it sound soooo simple because he's a pro, but you might miss some things nonetheless (I know I did)
Have fun with it and don't forget to show us the outcome