If you are getting a Set Error message, which I did at first too, it's usually because the date is being typed in wrong.

I don't remember which should be typed in first, but, if you are usually typing in the month first, try typing in the day first, then the month. Example for December 1, 2002...instead of typing in 12-1-2002, try typing it in 1-12-2002.

You can later switch the order of the day/month stuff by hitting the MD/DM letters at the bottom of the screen.

If you are trying to just change a previously set date...
Turn the unit on.
Use the stylus to touch and hold the Edit icon on the lower right of the screen for a second or two.
This allows you to edit the time.