Don't believe holding the button has anything to do with it - just get to the map screen(clear warnings, destination prompts, etc...) and hit the Nav button, it's labeled Nav on an '08, just an icon on the '06, it's the top right button off the touchscreen. After you hit it, you should get the screen with two choices, hit the Off Road choice and you're where you want to be, on mine, the compass appears as an overlay immediately on the right side.
If you're still having issues, I can probably put up some pics, but this is documented in the manual too.