Creating Cross references in InDesign

I’m trying to create my first cross reference (which I’ve never done before). Instructions for doing it through Type / Hyperlinks & Cross References say:

1. Create a text anchor: open the Hyperlinks or Cross‑References panel menu → New Hyperlink Destination → choose Type: Text Anchor → name the anchor and click OK.

But it won’t let me name the anchor. All the drop-down shows is [None]. 

I’ve also tried creating a name anchor through Windows / Interactive / Hyperlinks. I seem to have successfully created a name anchor there, but when I use Type / Hyperlinks & Cross References to create the link it doesn’t show up in the Text Anchor names.