Lookup wizard with select multiple and add new options

I'm trying to set up a situation where users can associate one or more "tags" with a record. I have a field to hold the tags, and a separate table that contains the tags. I'd like to be able to select one or more existing tags as well as allow the addition on the fly of new tags to the tag table. In reading the help file and looking at the lookup wizard dialog, I believe this is possible. But when run my app never displays the "Add new" link. What am I doing wrong?

I'm trying to include a screenshot but it doesn't seem to be working. Here's the link to the screenshot: My link