on Kindle 2
That is the middle button on your 5-way array of buttons (Kindle 3) or the button/5-way switch on the bottom right of the Kindle 2. On the Kindle 2 you kind of toggle that button up, down, left or right, then press in on that same button when you want to make something happen (like an enter) key. Pressing in on the larger middle button on the Kindle 3 does exactly the same thing.
on Kindle 3