I must be stupid.

To change the shutter speed I switch to P mode, press Function, toggle to TV-Shutter, press Set, but then when I push Set up or down, shutter speed doesn't change.

What the heck am I doing wrong?

thanks,
elmer

You can't change shutter speed while in function mode. Once you change to "TV" press the function button to exit function mode. Use the scroll to highlight TV, press the scroll button, scroll to whatever speed you want, press the scroll button again.