First you want to set up your system with just some water. Fill your mash tun with enough water and start you pump going. Then just keep hitting the "set" button until you see "AT" in the display. change the autotune to read "2", 10 seconds later the auto tuning will start. Tuning is complete when the display stops changing.
Out of curiosity - are you using a thermocouple or an RTD? In the case of a thermocouple, if you reverse the leads you will see about a 4 degree difference.