Hi Mike, there are 2 sets of controls you can use - those from the Forms toolbar and those from the Visual Basic toolbar (aka ActiveX controls). The Help you would have been looking at was for a Command Button drawn from the Forms toolbar where you have created an ActiveX Command Button. I prefer ActiveX controls as they give you far more options than the Forms controls.
To get to the Click event for the control open the VB Toolbar then click the design mode button. Now double click on the button and you will be taken to the VBE. You can either paste the code from your macro (exclude Sub and End Sub lines) into the Click macro or you can call it by using this line where MyMacro is the name of your procedure your wanting to run.
Private Sub CommandButton1_Click()
Call MyMacro
End Sub