You are right-clicking the Thumbnail Size slider, which doesn't have a Use Visual Styles option.
It looks like you haven't added the styles tabs to your toolbar yet. You added a new, blank toolbar but missed that step. (Maybe because the FAQ was a bit hard to read; I've fixed the formatting problems with it, caused by the forum software changing under us.)
You need to drag Lister Styles - Tabs to your toolbar.
To help anyone who finds this thread via searching, the guide in question is here: How to create a Styles tab-bar (like Opus 9)