Noob using Path Tool

Using Blender 2.67, I want to very simply use the Path tool, but watching a tut on Youtube, my Blender is acting very strange and I can’t work out why.

All I want to do is extrude a mesh along a path.

Open Blender, del cube. Add Curves>Path. Edit mode and make path a wiggly line. Then Add Mesh>Circle.

Click on Path and then Right Hand screen, Hit Object Data and under Geometry, click Bevel Object.

But the dropdown I get is blank (as is Taper Object) and no amount of poking around can make my circle appear in the drop drop down and this is stopping me from extruding. I am obviously missing a step here or something is wrong?

Thanks in advance.

Curve bevel object has to be another curve.