All I can recommend is to keep trying, and maybe restart the game after adjusting AA settings. I have that Catalyst Control Center thing for my ATI card and I had to actually lower some of the AA settings to get the AA to work at all. When I had things turned up high, it's like the game just wouldn't display any AA.
When I turned Anti-Aliasing higher than that, it wouldn't work in game. This is just an example, I don't know what software you're working with.