On the AP panel itself, NAV is selected with the TRACK switch. I only use the AP popup panel so don't know if any of the keyboard commands work or not.
You really should read the manual on the use of the autopilot as it is a little bit more involved than the default autopilots in FSX. And I still struggle to get the AP to work sometimes.
But to help you along...
1. Turn on Power switch
2. Make sure 'A, R, E' switches are on (up) (mine are alway off for some reason?)
3. If you turn on Engage now, that will just hold your current Attitude, which can be adjust with the Bank and Pitch knobs.
4. Use the Nav Mode Select switch to select either Hdg, GPS, or VOR/ILS 1/2 (this assumes you've also set your heading bug, have a GPS flight plan running, or have a VOR dialed in)
5. Turn on Engage if you haven't already done so, then turn on the TRACK switch and the plane should start navigating properly. (keep those fingers crossed!!!)