There are two reasons to press the Mode button, depending on what you want to do, you need to either remove or place an activity card into your S32.
If you ...
... want to go into Setup mode, first remove any activity card you may have in your device. Then press and hold the Mode button for 2-3 seconds to enter Setup mode.
... want to record a message or IR command, insert the activity card you want to make the recording to. You cannot record content without a card in place. Pressing the Mode button briefly won't do anything if no card is inserted.