Can't set-up slave in replication

[Idris]

I'm trying to set-up replication following a book and on-line guide. This
is over SSH with a tunnel (not sure if the tunnel's required).

The master appears to be set-up OK (easy enough).
The slave however isn't behaving.

I've got a my.cnf with the following:

[mysqld]
master-host=127.0.0.1
master-port=APORT
master-user=AUSER
master-password=APASSW ORD
server-id=2

When I start the slave up and do show slave status - I get 0's and
blank entries back.

I've tried setting it up using:

CHANGE MASTER TO
MASTER_HOST='lo calhost',
MASTER_USER='AU SER',
MASTER_PORT=APO RT,
MASTER_PASSWORD ='APASSWORD',
MASTER_LOG_FILE ='AFILE-bin.001',
MASTER_CONNECT_ RETRY=10;

This sets up the slave bits and show slave status looks much better,
however,

SLAVE START;

returns...

The server is not configured as slave, fix in config file or with CHANGE
MASTER TO

I can only seem to find this message in pages that have a list of all Mysql
errors.

Anyone help please?