John,
MB3 only changes the cursor from a pointer to a crosshair when it is over a component of the assembly. The tutorial that my employer has provided says to go to the Assemblies menu > Components > Replace Components. Components is not under the Assemblies menu. Components has nothing...
My company just rolled out NX6, upgraded from NX4. I too am having the same problem, but I cannot find where the Replace Component command is. I have an assembly where the path to the parts has changed. I used to be able to select "Open Component As". Where is the Replace Component command?