Cannot Define a New Style

I am using Visio 2010 SP2. I am having trouble defining a new style.

I open the Define Styles dialog box, make my custom settings, enter a name in the Name box, and click Apply or Change. But I get the error message "A name is required. Enter a name." So the dialog box never lets me enter a name. I can pick one of the predefined names, like "Normal", and change the style of it. But I am never able to create a new style.