There are a couple things that I think may have happened.
Try selecting the arrow in the graphics window. This process is outlined in your training guide in the note for Task 1 Step 3 of this exercise. If this does not resolve the issue, try the second option.
Double check your selection. When selecting the two curves along which you want to create your sweep, if you hold Ctrl while selecting you are selecting the two entities individually. However, if you hold Shift while selecting the two curves, you will notice the option to select them as one continuous entity. You want to make the selection as one continuous curve. Then you may need to switch the origin by selecting the arrow in the graphics window again.
