I am also using v. 4.03.04, and followed the steps above exactly. It does not work for me. I recall in v3.0 I made a code modification in one of the iframe pages which allowed me to specific links to go into an Iframe. I was sure in a new version this would be a feature that would be included.
What I did was change the name (heading) to IFrameformyPage from the default, Iframe.
Also, in the Iframe settings, I entered IFrameformyPage in the empty text box, Title.
Does the title need to be blank? am I missing something else?