Featured Header in TwentyTen

I seem to be having a bit of a problem. I can’t seem to get the featured image to work. I navigate to the individual page, scroll down to the Featured Image section. Click on the ‘Set Featured Image’ link which then takes me into the Media File window. I then select the file I want to upload. Then save featured image and save update, but no new image 🙁

Any suggestions as to where I maybe going wrong?

Stuart