It turns out that's not what I was doing wrong, but your telling me that caused me to try once again and I found something interesting.
I got to the point where I had selected a product and the product showed up in the "Shopping Cart" box.
Then I used the dropdown box to select an ad size from the options shown. I selected the 125 x 125 button.
Then I clicked continue and went through the process of selecting the color & channel before clicking on over to the code page where I found no code.
I didn't realize it before, but when I selected the 125 x 125 size option, it didn't allow that selection but I didn't notice. It allowed me to continue as if it had allowed the size.
When I went back and selected a different size, everything works and I get the code.
I wonder if that means all sizes are not available for all products?
Someone else try this and see if you experience the same thing.
Update: I went back and tried all the different ad sizes for the same product and it turns out several of them could not be selected.
I ended up selecting the 120 x 240 vertical for a product and when it displays, the ad only takes up about half of that 240 vertical area. I suppose that's good from the standpoint of attracting attention to the ad, but for some people it might not look right with the page layout.
And on that note - Has anyone found a product for which a Text Link ad is available?