You are correct, the set must be configured to 'air' or 'antenna' mode, not 'cable'. It may be that you are not seeing anything because the set has not scanned for channels. Many televisions with ATSC capable tuners (ATSC is the signal format used for digital over the air broadcasting) require that you scan for channels. It may be that you are not seeing anything because the set has not scanned for channels and the set design does not provide for manual direct tuning.
The manual for your set would be the best reference at this point. An online search using the model number will often find a down-loadable copy of the manual.
In the US, there are still low powered analog translator stations around but all full service stations are broadcasting digital signals at this point. In the 'air' or 'antenna' mode, newer sets will receive both formats. (ATSC, digital and NTSC, analog)
If you're still having trouble, please post a link to your TV Fool report so we can have a better idea of what signal conditions are at your location. The make and model of your antenna would be helpful also.
http://forum.tvfool.com/showthread.php?t=4