You have to be in Object mode, select both meshes, press w and choose boolean type.
Move both meshes aside because there is third one created as the result.
I have to say the booleans are just as poor, if not worse than they were in 2.37a, I haven’t really seen much to indicate they were done any better. Even the simplist of booleans are failing for me to create anything near a clean mesh.
What I mean is, they still need work…
For example, I cant get a cylinder and cube to boolean union correctly at all. They kind of cut into eachother, but do not actually join. Other times I try differences for fairly simple shapes, (boxes into boxes) and get very strange cuts.
The booleans seem broken in all optimized, 2.41 alpha and orange builds (in the Win binaries I tried)… Using a simple UV sphere and cube union causes to crash all of them. Except the regular 2.40 version (and ZanQdo Orange build), which works fine…