Last part of Step 8, Now hold CTRL and click on "layer 3" to select it, hit DELETE about 4 times to remove all the black, Do NOT lose the selection.
When pressing Delete, the black does not disappear. I've reworked steps 7 & 8 about 10 times now, amking double-sure that I'm doing exactly what Guassian wrote. Tried holding down CTRL while deleting, but that fills, not deletes. For some reason I think the either my pen is wrong or the inverse isn't working.
EDIT: In step 4 you create a new layer before using the pen. In step 7 you use the pen before creating the layer. I've done it both ways now in trying to create the shadow. Neither works.